Nonparametric Pricing of Interest Rate Derivative Securities (Q4883102)
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scientific article; zbMATH DE number 894889
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| English | Nonparametric Pricing of Interest Rate Derivative Securities |
scientific article; zbMATH DE number 894889 |
Statements
Nonparametric Pricing of Interest Rate Derivative Securities (English)
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1 July 1996
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estimation of stochastic differential equations
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kernel estimation
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discrete-time sampling
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option pricing
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term structure of interest rates
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continuous-time stochastic models
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derivative securities
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volatility function
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drift
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short-term interest rate
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bond options
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0.8595600724220276
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0.8302591443061829
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0.8214053511619568
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0.8096810579299927
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