Replication Data: Treasury Option Returns and Models with Unspanned Risks
Creators:
Gurdip Bakshi, John Crosby, Xiaohui Gao, and Jorge W. Hansen
Publication Date:
2023-10-04
Data Category:
Dataset Description:
This dataset, hosted on Mendeley Data, contains the replication data for the study "Treasury Option Returns and Models with Unspanned Risks" (Bakshi, Crosby, Gao & Hansen, 2023, Journal of Financial Economics). It includes options and Treasury bond data used to examine the returns on U.S. Treasury options and to evaluate term structure models that incorporate unspanned risks with implications for fixed income pricing and hedging.
Variables:
Details: