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Type | Journal Article |
Scope | Discipline-based scholarship |
Title | Asset Pricing under the Quadratic Class |
Organization Unit | |
Authors |
|
Item Subtype | Original Work |
Refereed | Yes |
Status | Published in final form |
Language |
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Journal Title | Journal of Financial and Quantitative Analysis |
Publisher | Cambridge University Press |
Geographical Reach | international |
ISSN | 0022-1090 |
Volume | 37 |
Number | 2 |
Page Range | 271 - 295 |
Date | 2002 |
Abstract Text | We identify and characterize a class of term structure models where bond yields are quadratic functions of the state vector. We label this class the quadratic class and aim to lay a solid theoretical foundation for its future empirical application. We consider asset pricing in general and derivative pricing in particular under the quadratic class. We provide two general transform methods in pricing a wide variety of fixed income derivatives in closed or semi-closed form. We further illustrate how the quadratic model and the transform methods can be applied to more general settings. |
Digital Object Identifier | 10.2307/3595006 |
Other Identification Number | merlin-id:4532 |
PDF File | Download from ZORA |
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