Nonparametric Pricing of Interest Rate Derivative Securities
利率衍生证券的非参数定价
The author proposes a nonparametric estimation procedure for continuous-time stochastic models. Because prices of derivative securities depend crucially on the form of the instantaneous volatility of the underlying process, he leaves the volatility function unrestricted and estimates it nonparametrically. Only discrete data are used but the estimation procedure still does not rely on replacing the continuous-time model by some discrete approximation. Instead, the drift and…