Technical Note on Local Time Risk Premiums in Parameterized Models of Interest-Rate Claims
33 Pages Posted: 27 Dec 2019
Date Written: December 6, 2019
This technical note serves to establish proofs for the list of statements in Bakshi, Crosby, and Gao (2019).
Keywords: Expected return of options on Treasury bond futures, unspanned components of pricing kernel, interest-rate models, Tanaka’s formula, local time risk premiums
JEL Classification: G10, G12
Suggested Citation: Suggested Citation