Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model.

Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model.

Diffusion functions in term-structure models are measures of uncertainty about future price movements and are directly related to the risk associated with holding financial securities. Correct specification of diffusion functions is crucial in pricing options and other derivative securities. In cont...

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Dades bibliogràfiques
Autors principals:	Knight, J, Li, F, Yuan, M
Format:	Working paper
Idioma:	English
Publicat:	Bank of Canada 1999

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