Nonparametric pricing of interest rate derivative securities

Econometrica

Volumn 64, Issue 3, 1996, Pages 527-560

  Aít Sahalia, Yacine ^a  

^a NONE

Author keywords

Discrete time sampling; Estimation of stochastic differential equations; Nonparametric kernel estimation; Option pricing; Term structure of interest rates

Indexed keywords

DIFFERENTIAL EQUATIONS;

INTEREST RATE; NON PARAMETRIC ESTIMATION; PRICING; STOCHASTIC EQUATION;

ESTIMATION;

EID: 0030369366     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.2307/2171860     Document Type: Article

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