Since 2014
Nonparametric Estimation of Mean and Variance and Pricing of Securities
Economic Analysis Review
View Archive Info| Field | Value | |
| Title |
Nonparametric Estimation of Mean and Variance and Pricing of Securities
Nonparametric Estimation of Mean and Variance and Pricing of Sec |
|
| Creator |
Siddique, Akhtar R.
|
|
| Description |
This paper develops a filtering-based framework of non-parametric estimation of parameters of a diffusion process from the conditional moments of discrete observations of the process. This method is implemented for interest rate data in the Eurodollar and long term bond markets. The resulting estimates are then used to form non-parametric univariate and bivariate interest rate models and compute prices for the short term Eurodollar interest rate futures options and long term discount bonds. The bivariate model produces prices substantially closer to the market prices.
This paper develops a filtering-based framework of non-parametric estimation of parameters of a diffusion process from the conditional moments of discrete observations of the process. This method is implemented for interest rate data in the Eurodollar and long term bond markets. The resulting estimates are then used to form non-parametric univariate and bivariate interest rate models and compute prices for the short term Eurodollar interest rate futures options and long term discount bonds. The bivariate model produces prices substantially closer to the market prices. |
|
| Publisher |
Universidad Alberto Hurtado - Facultad de Economía y Negocios
|
|
| Contributor |
—
— |
|
| Date |
2010-03-05
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
|
| Format |
application/pdf
|
|
| Identifier |
http://www.rae-ear.org/index.php/rae/article/view/96
|
|
| Source |
Revista de Análisis Económico - Economic Analysis Review; Vol 15, No 1 (2000); 27-45
Revista de Análisis Económico – Economic Analysis Review; Vol 15, No 1 (2000); 27-45 0718-8870 0716-5927 |
|
| Language |
eng
|
|
| Relation |
http://www.rae-ear.org/index.php/rae/article/view/96/184
|
|