A pricing kernel approach to valuing options on interest rate futures

Keyphrases

• Arbitrage-free 33%
• Asset Pricing Model 33%
• Distance Criterion 33%
• Economic Theory 33%
• Implied Volatility 33%
• Interest Rate Futures 100%
• Intertemporal Capital Asset Pricing Model 33%
• Kernel Models 33%
• Market Returns 33%
• Maximum Sharpe Ratio 33%
• Pricing Kernel 100%
• Pricing Kernel Approach 100%
• Real Interest Rates 33%
• Stochastic Discount Factor 33%
• Three-term 33%

Economics, Econometrics and Finance

• Arbitrage 20%
• CAPM 20%
• Economic Theory 20%
• Financial Economics 20%
• Interest Rate Derivative 100%
• Pricing 100%
• Real Interest Rate 20%
• Volatility 20%
• Wealth 20%