The economic determinants of interest rate option smiles

被引：21

作者：

Deuskar, Prachi ^{[3
]}

Gupta, Anurag ^{[2
]}

Subrahmanyam, Marti G. ^{[1
]}

机构：

[1] NYU, Leonard N Stern Sch Business, Dept Finance, New York, NY 10012 USA

[2] Case Western Reserve Univ, Weatherhead Sch Management, Dept Banking & Finance, Cleveland, OH 44106 USA

[3] Univ Illinois, Coll Business, Dept Finance, Urbana, IL 61801 USA

来源：

JOURNAL OF BANKING & FINANCE | 2008年 / 32卷 / 05期

关键词：

volatility smiles; interest rate options; euro interest rate markets; euribor market;

D O I：

10.1016/j.jbankfin.2007.05.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We address three questions relating to the interest rate options market: What is the shape of the smile? What are the economic determinants of the shape of the smile? Do these determinants have predictive power for the future shape of the smile and vice versa? We investigate these issues using daily bid and ask prices of euro (sic) interest rate caps/floors. We find a clear smile pattern in interest rate options. The shape of the smile varies over time and is affected in a dynamic manner by yield curve variables and the future uncertainty in the interest rate markets; it also has information about future aggregate default risk. Our findings are useful for the pricing, hedging and risk management of these derivatives. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：714 / 728

页数：15

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