Transition densities for interest rate and other nonlinear diffusions

被引:212
作者
Aït-Sahalia, Y [1 ]
机构
[1] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA
关键词
D O I
10.1111/0022-1082.00149
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper applies to interest rate models the theoretical method developed in Ait-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 briefly discussed.
引用
收藏
页码:1361 / 1395
页数:35
相关论文
共 38 条
[1]  
AHN DH, 1998, PARAMETRIC NONLINEAR
[2]   Nonparametric pricing of interest rate derivative securities [J].
Ait-Sahalia, Y .
ECONOMETRICA, 1996, 64 (03) :527-560
[3]   Testing continuous-time models of the spot interest rate [J].
Ait-Sahalia, Y .
REVIEW OF FINANCIAL STUDIES, 1996, 9 (02) :385-426
[4]  
AITSAHALIA Y, 1998, MAXIMUM LIKELIHOOD E
[5]  
[Anonymous], J PORTFOLIO MANAGEME
[6]  
[Anonymous], 1993, J APPL ECONOMETRICS
[7]  
Bibby B., 1995, Bernoulli, V1, P17, DOI [10.2307/3318679, DOI 10.2307/3318679]
[8]   PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].
BLACK, F ;
SCHOLES, M .
JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654
[9]   AN EMPIRICAL-COMPARISON OF ALTERNATIVE MODELS OF THE SHORT-TERM INTEREST-RATE [J].
CHAN, KC ;
KAROLYI, GA ;
LONGSTAFF, FA ;
SANDERS, AB .
JOURNAL OF FINANCE, 1992, 47 (03) :1209-1227
[10]   Short-term interest rates as subordinated diffusions [J].
Conley, TG ;
Hansen, LP ;
Luttmer, EGJ ;
Scheinkman, JA .
REVIEW OF FINANCIAL STUDIES, 1997, 10 (03) :525-577