Nonparametric Pricing of Interest Rate Derivative Securities

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

zbMATH Keywords

kernel estimation term structure of interest rates option pricing drift volatility function derivative securities short-term interest rate bond options discrete-time sampling continuous-time stochastic models estimation of stochastic differential equations

Mathematics Subject Classification ID

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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