Nonparametric Pricing of Interest Rate Derivative Securities
收藏NBER1995-11-01 更新2025-01-04 收录
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https://www.nber.org/papers/w5345
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资源简介：
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.
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美国国家经济研究局创建时间：
1995-11-01
