Jackknifing Bond Option Prices

• المؤلفون الرئيسيون: Phillips, Peter C. B., YU, Jun
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2005
• الموضوعات: Bias Reduction; Option Pricing; Bond Pricing; Term Structure of Interest Rates; Re-sampling; Estimation of Continuous Time Models; Econometrics; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/385; https://ink.library.smu.edu.sg/context/soe_research/article/1384/viewcontent/YuRFS_A.pdf
• المؤسسة: Singapore Management University

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...