Jackknifing Bond Option Prices
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Other versions of this item:
- Yu, Jun & Phillips, Peter, 2002. "Jacknifing Bond Option Prices," Working Papers 187, Department of Economics, The University of Auckland.
- Peter C.B. Phillips & Jun Yu, 2003. "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers 1392, Cowles Foundation for Research in Economics, Yale University.
More about this item
KeywordsBias Reduction; Option Pricing; Bond Pricing; Term Structure ofInterest Rate; Re-sampling; Estimation of Continuous Time Models.;
- 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
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