Nonparametric estimation of state-price densities implicit in interest rate cap prices
Haitao Li; Feng Zhao
| Year of publication: |
2009
|
|---|---|
| Authors: | Li, Haitao ; Zhao, Feng |
| Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 22.2009, 11, p. 4335-4376
|
| Subject: | Zinsderivat | Interest rate derivative | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Zinsstruktur | Yield curve | Martingal | Martingale | Volatilität | Volatility | Großbritannien | United Kingdom | 2000-2005 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003896303