Nonparametric Pricing of Interest Rate Derivative Securities
From MaRDI portal
Publication:4883102
DOI10.2307/2171860zbMath0844.62094MaRDI 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 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
62G07: Density estimation
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M05: Markov processes: estimation; hidden Markov models
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA, Student processes, ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS, Method for simulating non-linear stochastic differential equations in ℝ1, Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates, Efficient Factor Models For Yield Curve Dynamics, Do option markets correctly price the probabilities of movement of the underlying asset?, Goodness-of-fit tests for kernel regression with an application to option implied volatilities, A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation, Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview, Confidence bands in nonparametric time series regression, Clustering of discretely observed diffusion processes, Parametric and nonparametric models and methods in financial econometrics, Simultaneous nonparametric inference of time series, Spectral methods for identifying scalar diffusions, Estimating the parameters of stochastic differential equations, Estimating continuous-time stochastic volatility models of the short-term interest rate, Dynamic equilibrium and volatility in financial asset markets, An integrated stock-bond portfolio optimization model, Nonparametric option pricing under shape restrictions, Purebred or hybrid?: Reproducing the volatility in term structure dynamics., The dynamics of stochastic volatility: evidence from underlying and options markets, Estimation by simulation of monotone dynamical systems, Financial options and statistical prediction intervals, Nonparametric estimation of American options' exercise boundaries and call prices, Short rate nonlinearities and regime switches., Estimators of diffusions with randomly spaced discrete observations: a general theory, Nonparametric estimation of scalar diffusions based on low frequency data, Diffusion-type models with given marginal distribution and autocorrelation function, Financial econometrics: Past developments and future challenges, Notes on financial econometrics, Asymptotic nonequivalence of GARCH models and diffusions, The surprise element: Jumps in interest rates., Maximum likelihood estimation of time-inhomogeneous diffusions., Simulation-based estimation of dynamic models with continuous equilibrium solutions, Conservative delta hedging., Nonparametric risk management and implied risk aversion, American options with stochastic dividends and volatility: a nonparametric investigation, A selective overview of nonparametric methods in financial econometrics, Comment: A selective overview of nonparametric methods in financial econometrics, A Fourier transform method for nonparametric estimation of multivariate volatility, Kernel estimation of Greek weights by parameter randomization, Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions, Flexible term structure estimation: Which method is preferred?, Exact asymptotics for estimating the marginal density of discretely observed diffusion proc\-esses, Modelling animal growth in random environments: An application using nonparametric estimation, ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG, Double Kernel Estimation of Sensitivities, NONPARAMETRIC STUDY OF SOLUTIONS OF DIFFERENTIAL EQUATIONS, Semi-Parametric Estimation for Forward–Backward Stochastic Differential Equations, Nonparametric Methods in Continuous Time Model Specification, Semiparametric diffusion estimation and application to a stock market index, REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS, CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION, NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
