Nonparametric Pricing of Interest Rate Derivative Securities
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Publication:4883102
DOI10.2307/2171860zbMath0844.62094OpenAlexW3023340179MaRDI QIDQ4883102
Publication date: 1 July 1996
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w5345.pdf
kernel estimationterm structure of interest ratesoption pricingdriftvolatility functionderivative securitiesshort-term interest ratebond optionsdiscrete-time samplingcontinuous-time stochastic modelsestimation of stochastic differential equations
Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Derivative securities (option pricing, hedging, etc.) (91G20)
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