Jackknifing Bond Option Prices

• 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
• 機構: 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...