Jackknifing Bond Option Prices
Prices of interest rate derivative securities depend crucially on the mean reversion parameters of the underlying diffusions. These parameters are subject to estimation bias when standard methods are used. The estimation bias can be substantial even in very large samples and much more serious than t...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2005
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/385 https://ink.library.smu.edu.sg/context/soe_research/article/1384/viewcontent/YuRFS_A.pdf |
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| Institution: | Singapore Management University |
| Language: | English |