Nonparametric pricing of interest rate derivative securities

We propose a nonparametric estimation procedure for continuous- time stochastic models. Because prices of derivative securities depend crucially on the form of the instantaneous volatility of the underlying process, we leave the volatility function unrestricted and estimate it nonparametrically. Onl...

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Bibliographische Detailangaben

1. Verfasser:	Aït-Sahalia, Yacine (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Cambridge, Mass. 1995
Schriftenreihe:	National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 5345
Schlagworte:	Mathematisches Modell Derivative securities > Mathematical models Fixed-income securities > Valuation > Mathematical models Interest rates > Mathematical models Securities > Valuation > Mathematical models
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