Jackknifing Bond Option Prices

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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書目詳細資料
Main Authors:	Phillips, Peter C. B., YU, Jun
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2005
主題:	Bias Reduction Option Pricing Bond Pricing Term Structure of Interest Rates Re-sampling Estimation of Continuous Time Models Econometrics Finance and Financial Management
在線閱讀:	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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