Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility
Author:
Funder
National Natural Science Foundation of China
Fundamental Research Funds for the Central Universities
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s11147-023-09198-2.pdf
Reference23 articles.
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2. Backwell, A. (2021). Unspanned stochastic volatility from an empirical and practical perspective. Journal of Banking and Finance, 122, 1–14. https://doi.org/10.1016/j.jbankfin.2020.105993
3. Bakshi, G., Crosby, J., Gao, X., & Hansen, J. W. (2023). Treasury option returns and models with unspanned risks. Journal of Financial Economics, 150(3), 103736. https://doi.org/10.1016/j.jfineco.2023.103736
4. Bakshi, G., & Madan, D. (2000). Spanning and derivative-security valuation. Journal of Financial Economics, 55, 205–238. https://doi.org/10.1016/S0304-405X(99)00050-1
5. Bikbov, R., & Chernov, M. (2009). Unspanned stochastic volatility in affine models: evidence from eurodollar futures and options. Management Science, 55(8), 1292–1305. https://doi.org/10.1287/mnsc.1090.1020
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