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...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
1995
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| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
5345 |
| Schlagworte: | |
| Zusammenfassung: | 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. Only discrete data are used but the estimation procedure still does not rely on replacing the continuous- time model by some discrete approximation. Instead the drift and volatility functions are forced to match the densities of the process. We estimate the stochastic differential equation followed by the short term interest rate and compute nonparametric prices for bonds and bond options. |
| Beschreibung: | 39 S. graph. Darst. |
Internformat
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| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 5345 | |
| 520 | |a 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. Only discrete data are used but the estimation procedure still does not rely on replacing the continuous- time model by some discrete approximation. Instead the drift and volatility functions are forced to match the densities of the process. We estimate the stochastic differential equation followed by the short term interest rate and compute nonparametric prices for bonds and bond options. | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Derivative securities |x Mathematical models | |
| 650 | 4 | |a Fixed-income securities |x Valuation |x Mathematical models | |
| 650 | 4 | |a Interest rates |x Mathematical models | |
| 650 | 4 | |a Securities |x Valuation |x Mathematical models | |
| 830 | 0 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 5345 |w (DE-604)BV002801238 |9 5345 | |
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| id | DE-604.BV010646850 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:56:33Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007104680 |
| oclc_num | 33946227 |
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| physical | 39 S. graph. Darst. |
| publishDate | 1995 |
| publishDateSearch | 1995 |
| publishDateSort | 1995 |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Aït-Sahalia, Yacine Verfasser aut Nonparametric pricing of interest rate derivative securities Yacine Aït-Sahalia Cambridge, Mass. 1995 39 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 5345 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. Only discrete data are used but the estimation procedure still does not rely on replacing the continuous- time model by some discrete approximation. Instead the drift and volatility functions are forced to match the densities of the process. We estimate the stochastic differential equation followed by the short term interest rate and compute nonparametric prices for bonds and bond options. Mathematisches Modell Derivative securities Mathematical models Fixed-income securities Valuation Mathematical models Interest rates Mathematical models Securities Valuation Mathematical models National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 5345 (DE-604)BV002801238 5345 |
| spellingShingle | Aït-Sahalia, Yacine Nonparametric pricing of interest rate derivative securities National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Mathematisches Modell Derivative securities Mathematical models Fixed-income securities Valuation Mathematical models Interest rates Mathematical models Securities Valuation Mathematical models |
| title | Nonparametric pricing of interest rate derivative securities |
| title_auth | Nonparametric pricing of interest rate derivative securities |
| title_exact_search | Nonparametric pricing of interest rate derivative securities |
| title_full | Nonparametric pricing of interest rate derivative securities Yacine Aït-Sahalia |
| title_fullStr | Nonparametric pricing of interest rate derivative securities Yacine Aït-Sahalia |
| title_full_unstemmed | Nonparametric pricing of interest rate derivative securities Yacine Aït-Sahalia |
| title_short | Nonparametric pricing of interest rate derivative securities |
| title_sort | nonparametric pricing of interest rate derivative securities |
| topic | Mathematisches Modell Derivative securities Mathematical models Fixed-income securities Valuation Mathematical models Interest rates Mathematical models Securities Valuation Mathematical models |
| topic_facet | Mathematisches Modell Derivative securities Mathematical models Fixed-income securities Valuation Mathematical models Interest rates Mathematical models Securities Valuation Mathematical models |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT aitsahaliayacine nonparametricpricingofinterestratederivativesecurities |