Nonparametric estimation of state-price densities implicit in interest rate cap prices
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 |
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