Jackknifing Bond Option Prices
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Other versions of this item:
- Jun Yu & Peter Phillips, 2004. "Jackknifing Bond Option Prices," Econometric Society 2004 North American Winter Meetings 115, Econometric Society.
- Yu, Jun & Phillips, Peter, 2002. "Jacknifing Bond Option Prices," Working Papers 187, Department of Economics, The University of Auckland.
More about this item
KeywordsBias Reduction; Option Pricing; Bond Pricing; Term Structure of Interest Rate; Re-sampling; Estimation of Continuous Time Models;
All these keywords.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CFN-2003-02-03 (Corporate Finance)
- NEP-CMP-2003-02-03 (Computational Economics)
- NEP-ECM-2003-02-10 (Econometrics)
- NEP-FMK-2003-02-03 (Financial Markets)
- NEP-RMG-2003-02-03 (Risk Management)
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