Nonparametric Pricing of Interest Rate Derivative Securities
نویسندگان
چکیده
منابع مشابه
Nonparametric statistical methods and the pricing of derivative securities
In this review paper we summarise several nonparametric methods recently applied to the pricing of financial options. After a short introduction to martingale-based option pricing theory, we focus on two possible fields of application for nonparametric methods: the estimation of risk-neutral probabilities and the estimation of the dynamics of the underlying instruments in order to construct an ...
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ژورنال
عنوان ژورنال: Econometrica
سال: 1996
ISSN: 0012-9682
DOI: 10.2307/2171860