Predictive power of the implied volatility term structure in the fixed‐income market
RR Chen, PL Hsieh, J Huang, X Li - Journal of Futures Markets, 2023 - Wiley Online Library
We apply the interest rate model of Chen, Hsieh, and Huang (CHH), the CHH model, to
explore the implied volatility (IV) term structure's predictive power for bond excess returns …
explore the implied volatility (IV) term structure's predictive power for bond excess returns …
CMS Spread Options Pricing under the CHH Model.
RR Chen, X Li, PL Hsieh - Journal of Fixed Income, 2023 - search.ebscohost.com
Abstract Based on the Chen, Hsieh, and Huang (2017) interest rate model, this research
explores the analytical approach for pricing CMS spread options. We first derive a complex …
explores the analytical approach for pricing CMS spread options. We first derive a complex …
A MARTINGALE RESTRICTION TEST OF OPTION PRICES
RR Chen - Advances in Financial Planning and Forecasting (New …, 2018 - books.google.com
In this paper, we drive a martingale restriction of a ratio of any two asset prices. With both the
benchmark asset and pricing kernel being the numeraire, the ratio of any two asset prices is …
benchmark asset and pricing kernel being the numeraire, the ratio of any two asset prices is …