Transition Densities For Interest Rate And Other Nonlinear Diffusions  

Oleh:

Sahalia, Yacine Ait

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 54 no. 4 (Aug. 1999), page 1361-1396.
Fulltext: p 1361.pdf (878.26KB)

Isi artikel

This paper applies to interest rate models the theoretical method developed in Aït-Sahalia ~1998! to generate accurate closed-form approximations to the transition function of an arbitrary diffusion. While the main focus of this paper is on the maximum-likelihood estimation of interest rate models with otherwise unknown transition functions, applications to the valuation of derivative securities are also brief ly discussed

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali