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Transition Densities for Interest Rate and Other Nonlinear Diffusions

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Author Info
Yacine Aït-Sahalia (Princeton University)

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Abstract

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 briefly discussed. Copyright The American Finance Association 1999.

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Article provided by American Finance Association in its journal The Journal of Finance.

Volume (Year): 54 (1999)
Issue (Month): 4 (08)
Pages: 1361-1395
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Handle: RePEc:bla:jfinan:v:54:y:1999:i:4:p:1361-1395

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This page was last updated on 2009-11-12.

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