Term structure movements implicit in Asian option prices

Bibliographic Details
Main Author: Almeida, Caio Ibsen Rodrigues de
Publication Date: 2008
Other Authors: Vicente, José
Language: eng
Source: Repositório Institucional do FGV (FGV Repositório Digital)
DOI: 10.1080/14697681003720253
Download full: http://hdl.handle.net/10438/23254
http://dx.doi.org/10.1080/14697681003720253
Summary: In this paper we implement dynamic term structure models that adopt bonds and Asian options in the estimation process. The goal is to analyse the pricing and hedging implications of term structure movements when options are (or are not) included in the estimation process. We investigate how options affect the shape, risk premium and hedging structure of the dynamic factors. We find that the inclusion of options affects the loadings of the slope and curvature factors, and considerably changes the risk premium and hedging structure of all dynamic factors.
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spelling Almeida, Caio Ibsen Rodrigues deVicente, JoséFGV2018-05-10T13:36:09Z2018-05-10T13:36:09Z20080969-5931 / 1873-6149http://hdl.handle.net/10438/23254http://dx.doi.org/10.1080/1469768100372025310.1080/14697681003720253000302421800013In this paper we implement dynamic term structure models that adopt bonds and Asian options in the estimation process. The goal is to analyse the pricing and hedging implications of term structure movements when options are (or are not) included in the estimation process. We investigate how options affect the shape, risk premium and hedging structure of the dynamic factors. We find that the inclusion of options affects the loadings of the slope and curvature factors, and considerably changes the risk premium and hedging structure of all dynamic factors.CNPq-BrazilengQuantitative financeWeb of Sciencereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVAsset pricingFixed income derivativesEmpirical financeFinancial econometricsAffine term structure modelsFinançasMercado de opçõesTerm structure movements implicit in Asian option pricesArticle (Journal/Review)info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/openAccessTEXTtsoption.pdf.txttsoption.pdf.txtExtracted texttext/plain70105https://repositorio.fgv.br/bitstreams/dfb47feb-6cb9-4581-bdb1-ab8d06804029/download77aad92f771accebbe7e9e075b4484ecMD59ORIGINALtsoption.pdftsoption.pdfapplication/pdf482000https://repositorio.fgv.br/bitstreams/86b88861-b0b5-43d6-b0de-ad0b95de906a/download9bee2369218844235fb60f1ef5fa86d6MD54THUMBNAILtsoption.pdf.jpgtsoption.pdf.jpgGenerated Thumbnailimage/jpeg4068https://repositorio.fgv.br/bitstreams/a5ecd15f-53c8-43e1-bf33-34123903ce34/download72ca212803380a8694346a215d447014MD51010438/232542023-11-07 22:40:54.596open.accessoai:repositorio.fgv.br:10438/23254https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-07T22:40:54Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv Term structure movements implicit in Asian option prices
title Term structure movements implicit in Asian option prices
spellingShingle Term structure movements implicit in Asian option prices
Almeida, Caio Ibsen Rodrigues de
Asset pricing
Fixed income derivatives
Empirical finance
Financial econometrics
Affine term structure models
Finanças
Mercado de opções
title_short Term structure movements implicit in Asian option prices
title_full Term structure movements implicit in Asian option prices
title_fullStr Term structure movements implicit in Asian option prices
title_full_unstemmed Term structure movements implicit in Asian option prices
title_sort Term structure movements implicit in Asian option prices
author Almeida, Caio Ibsen Rodrigues de
author_facet Almeida, Caio Ibsen Rodrigues de
Vicente, José
author_role author
author2 Vicente, José
author2_role author
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Almeida, Caio Ibsen Rodrigues de
Vicente, José
dc.subject.eng.fl_str_mv Asset pricing
Fixed income derivatives
Empirical finance
Financial econometrics
Affine term structure models
topic Asset pricing
Fixed income derivatives
Empirical finance
Financial econometrics
Affine term structure models
Finanças
Mercado de opções
dc.subject.area.por.fl_str_mv Finanças
dc.subject.bibliodata.por.fl_str_mv Mercado de opções
description In this paper we implement dynamic term structure models that adopt bonds and Asian options in the estimation process. The goal is to analyse the pricing and hedging implications of term structure movements when options are (or are not) included in the estimation process. We investigate how options affect the shape, risk premium and hedging structure of the dynamic factors. We find that the inclusion of options affects the loadings of the slope and curvature factors, and considerably changes the risk premium and hedging structure of all dynamic factors.
publishDate 2008
dc.date.issued.fl_str_mv 2008
dc.date.accessioned.fl_str_mv 2018-05-10T13:36:09Z
dc.date.available.fl_str_mv 2018-05-10T13:36:09Z
dc.type.driver.fl_str_mv Article (Journal/Review)
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/23254
http://dx.doi.org/10.1080/14697681003720253
dc.identifier.issn.none.fl_str_mv 0969-5931 / 1873-6149
dc.identifier.doi.none.fl_str_mv 10.1080/14697681003720253
dc.identifier.WoS.none.fl_str_mv 000302421800013
identifier_str_mv 0969-5931 / 1873-6149
10.1080/14697681003720253
000302421800013
url http://hdl.handle.net/10438/23254
http://dx.doi.org/10.1080/14697681003720253
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.eng.fl_str_mv Quantitative finance
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv Web of Science
reponame:Repositório Institucional do FGV (FGV Repositório Digital)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Repositório Institucional do FGV (FGV Repositório Digital)
collection Repositório Institucional do FGV (FGV Repositório Digital)
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