返回Google圖書搜尋

Spanned Stochastic Volatility in Bond Markets

其他書名	A Reexamination of the Relative Pricing Between Bonds and Bond Options
出版	Bank for International Settlements, 2007
URL	http://books.google.com.hk/books?id=bDIoAQAAMAAJ&hl=&source=gbs_api

註釋This paper reexamines the issue of unspanned stochastic volatility (USV) in bond markets and the puzzle of poor relative pricing between bonds and bond options. I make a distinction between the "weak USV" and the "strong USV" scenarios, and analyze the evidence for each of them. I argue that the poor bonds/options relative pricing in the extant literature is not necessarily evidence for the strong USV scenario, and show that a maximally flexible 2-factor quadratic-Gaussian model (a non-USV model) estimated without bond options data can capture much of the movement in bond option prices. Dropping the positive-definiteness requirement for nominal interest rates and adopting "regularized" estimations turn out to be important for obtaining sensible results.