Jackknifing Bond Option Prices
Year of publication: |
2004-08-11
|
---|---|
Authors: | Yu, Jun ; Phillips, Peter |
Institutions: | Econometric Society |
Subject: | Bias Reduction | Option Pricing | Bond Pricing | Term Structure ofInterest Rate | Re-sampling | Estimation of Continuous Time Models |
Extent: | text/html |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Econometric Society North American Winter Meetings 2004 Number 115 |
Classification: | C13 - Estimation ; C22 - Time-Series Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: |
-
Jackknifing Bond Option Prices
Phillips, Peter C.B., (2003)
-
Chapter 11 Intertemporal asset pricing theory
Duffie, Darrell, (2003)
-
Jackknife bias reduction in autoregressive models with a unit root
Chambers, Marcus J., (2012)
- More ...
-
Jin, Sainan, (2004)
-
On Leverage in a Stochastic Volatility Model
Yu, Jun, (2004)
-
On leverage in a stochastic volatility model
Yu, Jun, (2004)
- More ...