Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices

Review of Financial Studies

Volumn 22, Issue 11, 2009, Pages 4335-4376

  Li, Haitao ^a   Zhao, Feng ^a,b  

^a UNIVERSITY OF MICHIGAN   (United States)

^b UNIVERSITY OF TEXAS AT DALLAS   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 71949127269     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhp025     Document Type: Article

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