Acknowledgments: I gratefully acknowledge many helpful discussions with Michael Brandt and Amir Yaron. I also thank participants at the 16th Derivatives Securities and Risk Management Conference at the Federal Deposit Insurance Corporation and SoFiE Third Annual Meeting. All remaining weaknesses are of course my own.
Nonparametric Interest Rate Cap Pricing: Implications for the ‘‘Unspanned Stochastic Volatility“ Puzzle*
Version of Record online: 15 AUG 2011
© 2011 Korean Securities Association
Asia-Pacific Journal of Financial Studies
Volume 40, Issue 4, pages 577–598, August 2011
How to Cite
Wu, T. L. (2011), Nonparametric Interest Rate Cap Pricing: Implications for the ‘‘Unspanned Stochastic Volatility“ Puzzle. Asia-Pacific Journal of Financial Studies, 40: 577–598. doi: 10.1111/j.2041-6156.2011.01050.x
- Issue online: 15 AUG 2011
- Version of Record online: 15 AUG 2011
- Received 14 May 2011; Accepted 1 June 2011
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