create a website

Nonparametric estimation of American options exercise boundaries and call prices. (2000). Ghysels, Eric ; Detemple, Jerome ; Torres, Olivier ; Broadie, Mark.
In: Journal of Economic Dynamics and Control.
RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1829-1857.

Full description at Econpapers || Download paper

Cited: 15

Citations received by this document

Cites: 83

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS. (2018). Li, Weiping ; Chen, SU.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:21:y:2018:i:07:n:s0219024918500395.

    Full description at Econpapers || Download paper

  2. On the relationship between conditional jump intensity and diffusive volatility. (2016). Li, Gang ; Zhang, Chu.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:37:y:2016:i:c:p:196-213.

    Full description at Econpapers || Download paper

  3. Pricing American options: RNMs-constrained entropic least-squares approach. (2015). Yu, Xisheng ; Xie, Xiaoke.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:31:y:2015:i:c:p:155-173.

    Full description at Econpapers || Download paper

  4. Diagnosing affine models of options pricing: Evidence from VIX. (2013). Li, Gang ; Zhang, Chu.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:107:y:2013:i:1:p:199-219.

    Full description at Econpapers || Download paper

  5. Semi-parametric estimation of American option prices. (2013). Gagliardini, Patrick ; Ronchetti, Diego.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:173:y:2013:i:1:p:57-82.

    Full description at Econpapers || Download paper

  6. Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives. (2012). Yamada, Yuji.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:19:y:2012:i:2:p:149-179.

    Full description at Econpapers || Download paper

  7. Nonparametric function estimation subject to monotonicity, convexity and other shape constraints. (2011). Shively, Thomas S. ; Walker, Stephen G. ; Damien, Paul.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:161:y:2011:i:2:p:166-181.

    Full description at Econpapers || Download paper

  8. Combining domain knowledge and statistical models in time series analysis. (2007). Lai, Tze Leung ; Wong, Samuel Po-Shing .
    In: Papers.
    RePEc:arx:papers:math/0702814.

    Full description at Econpapers || Download paper

  9. Nonparametric state price density estimation using constrained least squares and the bootstrap. (2006). Yatchew, Adonis ; Härdle, Wolfgang ; Hardle, Wolfgang.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:133:y:2006:i:2:p:579-599.

    Full description at Econpapers || Download paper

  10. A dynamic semiparametric factor model for implied volatility string dynamics. (2005). Mammen, Enno ; Härdle, Wolfgang ; Fengler, Matthias ; Hardle, Wolfgang Karl.
    In: SFB 649 Discussion Papers.
    RePEc:zbw:sfb649:sfb649dp2005-020.

    Full description at Econpapers || Download paper

  11. A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics. (2005). Mammen, Enno ; Härdle, Wolfgang ; Fengler, Matthias ; Hardle, Wolfgang.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2005-020.

    Full description at Econpapers || Download paper

  12. Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing. (2004). Gómez Biscarri, Javier ; Corzo, Teresa ; Santamaria, Teresa Corzo.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0304.

    Full description at Econpapers || Download paper

  13. The Econometrics of Option Pricing. (2004). Renault, Eric ; Ghysels, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-04.

    Full description at Econpapers || Download paper

  14. A data and digital-contracts driven method for pricing complex derivatives. (2003). Lu, Jun ; Ohta, Hiroshi.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:3:y:2003:i:3:p:212-219.

    Full description at Econpapers || Download paper

  15. Digital contracts-driven method for pricing complex derivatives. (2003). Lu, Jie ; Ohta, H.
    In: Journal of the Operational Research Society.
    RePEc:pal:jorsoc:v:54:y:2003:i:9:d:10.1057_palgrave.jors.2601597.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Aı̈t-Sahalia, Y. Nonparametric pricing of interest rate derivative securities. 1996 Econometrica. 64 527-560

  2. Aı̈t-Sahalia, Y., 1993. Nonparametric functional estimation with applications to financial models. Ph.D. Dissertation, M.I.T.
    Paper not yet in RePEc: Add citation now
  3. Aı̈t-Sahalia, Y., Lo, A.W., 1998. Nonparametric estimation of state-price densities implicit in financial asset prices. Journal of Finance 53, 499–547.
    Paper not yet in RePEc: Add citation now
  4. Abadir, K.M., Rockinger, M., 1997. Density-embedding functions. Discussion Paper, 97/16, University of York.

  5. Abken, P., Madan, D., Ramamurtie, S., 1996. Estimation of risk-neutral and statistical densities by hermite polynomial approximations: with an application to Eurodollar futures options. Discussion Paper, Federal Reserve Bank of Atlanta.
    Paper not yet in RePEc: Add citation now
  6. Altman, N.S. Kernel smoothing of data with correlated errors. 1990 Journal of the American Statistical Association. 85 749-759
    Paper not yet in RePEc: Add citation now
  7. Altman, N.S., 1987. Smoothing data with correlated errors. Technical Report 280, Department of Statistics, Stanford University.
    Paper not yet in RePEc: Add citation now
  8. Andrews, D.K. Asymptotic optimality of generalized CL, cross-validation, and generalized cross-validation in regression with heteroskedastic errors. 1991 Journal of Econometrics. 47 359-377

  9. Büttler, H.-J. ; Waldvogel, J. Pricing callable bonds by means of Green's function. 1996 Mathematical Finance. 6 53-88

  10. Barles, G. ; Burdeau, J. ; Romano, M. ; Samsœn, N. Critical stock price near expiration. 1995 Mathematical Finance. 5 77-95

  11. Barone-Adesi, G. ; Whaley, R.E. Efficient analytic approximation of American option values. 1987 Journal of Finance. 42 301-320

  12. Bates, D.S. The crash of ’87 – was it expected? The evidence from options markets. 1991 Journal of Finance. 46 1009-1044

  13. Bensoussan, A. On the theory of option pricing. 1984 Acta Applicandae Mathematicae. 2 139-158
    Paper not yet in RePEc: Add citation now
  14. Bodurtha, J.N. ; Courtadon, G.R. Efficiency tests of the foreign currency options market. 1986 Journal of Finance. 42 151-162

  15. Bossaerts, P., 1988. Simulation estimators of optimal early exercise. Working paper, Graduate School of Industrial Administration, Carnegie Mellon University.
    Paper not yet in RePEc: Add citation now
  16. Boyle, P. A lattice framework for option pricing with two state variables. 1988 Journal of Financial and Quantitative Analysis. 23 1-12

  17. Breen, R. The accelerated binomial option pricing model. 1991 Journal of Financial and Quantitative Analysis. 26 153-164

  18. Brennan, M.J. ; Schwartz, E. The valuation of American put options. 1977 Journal of Finance. 32 449-462

  19. Broadie, M. ; Detemple, J. American option valuation: new bounds, approximations, and a comparison of existing methods. 1996 Review of Financial Studies. 9 1211-1250

  20. Broadie, M., Detemple, J., Ghysels, E., Torrès, O., 1995. American options with stochastic volatility: a nonparametric investigation. Discussion paper, CIRANO, Montréal.
    Paper not yet in RePEc: Add citation now
  21. Broadie, M., Detemple, J., Ghysels, E., Torrès, O., 2000. American options with stochastic dividends and volatility: a nonparametric investigation. Journal of Econometrics, 94, 53–92.

  22. Carr, P. ; Jarrow, R. ; Myneni, R. Alternative characterizations of American put options. 1992 Mathematical Finance. 2 87-106

  23. Carr, P., Faguet, D., 1994. Fast accurate valuation of American options. Working paper, Cornell University.
    Paper not yet in RePEc: Add citation now
  24. Chernov, M., Ghysels, E., 1998. What data should be used to price options? Discussion paper CIRANO, Montreal.

  25. Cox, J.C. ; Ross, S.A. ; Rubinstein, M. Option pricing: a simplified approach. 1979 Journal of Financial Economics. 7 229-263

  26. Craven, P. ; Wahba, G. Smoothing noisy data with spline functions. 1979 Numerical Mathematics. 31 377-403
    Paper not yet in RePEc: Add citation now
  27. de Matos, J.A., 1994. MSM estimators of American option pricing models. Ph.D. Dissertation, INSEAD, Fontainebleau.
    Paper not yet in RePEc: Add citation now
  28. Diz, F. ; Finucane, T.J. The rationality of early exercise decisions: evidence from the S&P100 index options markets. 1993 Review of Financial Studies. 6 765-797
    Paper not yet in RePEc: Add citation now
  29. Duffie, D. ; Singleton, K.J. Simulated moments estimation of Markov models of asset prices. 1993 Econometrica. 61 929-952

  30. Dunn, K.B. ; Eades, K.M. Voluntary conversion of convertible securities and the optimal call strategy. 1989 Journal of Financial Economics. 23 273-302

  31. El Karoui, N. ; Karatzas, I. A new approach to the Skorohod problem and its applications. 1991 Stochastics and Stochastics Reports. 34 57-82
    Paper not yet in RePEc: Add citation now
  32. Eubank, R.L. . 1988 Marcel Dekker: New York
    Paper not yet in RePEc: Add citation now
  33. French, D.W. ; Maberly, E.D. Early exercise of American index options. 1992 Journal of Financial Research. 15 127-137

  34. Gallant, R., Tauchen, G., 1996. Which moments to match? Econometric Theory 12, 657–681.

  35. Garcia, R., Renault, E., 1996. Risk aversion, intertemporal substitution and option pricing. Discussion paper, CIRANO, Montréal and GREMAQ, Université de Toulouse I.
    Paper not yet in RePEc: Add citation now
  36. Gay, G.D. ; Kolb, R.W. ; Yung, K. Trader rationality in the exercise of futures options. 1989 Journal of Financial Economics. 23 339-361

  37. Geske, R. A note on an analytic formula for unprotected American call options on stocks with known dividends. 1979 Journal of Financial Economics. 7 375-380

  38. Geske, R. ; Johnson, H.E. The American put options valued analytically. 1984 The Journal of Finance. 39 1511-1524
    Paper not yet in RePEc: Add citation now
  39. Ghysels, E., Harvey, A., Renault, E., 1996. Stochastic volatility. In: Maddala et al. (Eds.), Handbook of Statistics, Statistical Methods in Finance, vol. 14. North-Holland, Amsterdam, forthcoming.

  40. Gouriéroux, C. ; Monfort, A. ; Renault, E. Indirect inference. 1993 Journal of Applied Econometrics. 8 S85-S118

  41. Gouriéroux, C., Monfort, A., 1995. Simulation Based Econometric Methods. CORE Lecture Series. Louvain-la-Neuve.
    Paper not yet in RePEc: Add citation now
  42. Gouriéroux, C., Monfort, A., Tenreiro, C., 1994. Kernel M-estimators: nonparametric diagnostics for structural models. Working Paper 9405, CEPREMAP, Paris.
    Paper not yet in RePEc: Add citation now
  43. Härdle, W. . 1990 Cambridge University Press: Cambridge
    Paper not yet in RePEc: Add citation now
  44. Härdle, W. ; Vieu, P. Kernel regression smoothing of time series. 1992 Journal of Time Series Analysis. 13 209-232

  45. Härdle, W., Linton, O., 1994. Applied nonparametric methods. In: Engle, R.F., McFadden, D.L. (Eds.), Handbook of Econometrics, vol. 4. Elsevier, Amsterdam (Chapter 38).

  46. Harrison, J.M. ; Kreps, D.M. Martingales and arbitrage in multiperiod securities markets. 1979 Journal of Economic Theory. 20 381-408

  47. Harvey, C.R. ; Whaley, R.E. Dividends and S&P100 index option valuation. 1992 Journal of Futures Markets. 12 123-137
    Paper not yet in RePEc: Add citation now
  48. Hastie, T.J. ; Tibshirani, R.J. . 1990 Chapman & Hall: London
    Paper not yet in RePEc: Add citation now
  49. Horowitz, J.L. Semiparametric estimation of a work-trip mode choice model. 1993 Journal of Econometrics. 58 49-70

  50. Huang, J. ; Subrahmanyam, M. ; Yu, G. Pricing and hedging American options: a recursive integration method. 1996 Review of Financial Studies. 9 277-300

  51. Hutchinson, J.M. ; Lo, A.W. ; Poggio, T. A nonparametric approach to pricing and hedging derivative securities via learning networks. 1994 Journal of Finance. 49 851-889

  52. Ingersoll, J. An examination of corporate call policies on convertible securities. 1977 The Journal of Finance. 32 463-478

  53. Jacka, S.D. Optimal stopping and the American put. 1991 Mathematical Finance. 1 1-14

  54. Jackwerth, J.C. ; Rubinstein, M. Recovering probability distributions from option prices. 1996 Journal of Finance. 51 1611-1631

  55. Künsch, H.R. The Jacknife and the bootstrap for general stationary observations. 1989 Annals of Statistics. 17 1217-1241
    Paper not yet in RePEc: Add citation now
  56. Karatzas, I. On the pricing of American options. 1988 Applied Mathematics and Optimization. 17 37-60
    Paper not yet in RePEc: Add citation now
  57. Kim, I.J. The analytic valuation of American options. 1990 The Review of Financial Studies. 3 547-572

  58. Kuske, R. ; Keller, J. Optimal excercise boundary for American put options. 1998 Applied Mathematical Finance. 5 107-116
    Paper not yet in RePEc: Add citation now
  59. Lehmann, E.L. . 1983 Wiley: New York
    Paper not yet in RePEc: Add citation now
  60. Liu, R.Y. ; Singh, K. Moving blocks jacknife and bootstrap capture of weak dependence. 1992 En : Lepage, R. ; Billard, Y. Exploring the Limits of Bootstrap. Wiley: New York
    Paper not yet in RePEc: Add citation now
  61. McKean, H.P. Appendix: a free boundary problem for the heat equation arising from a problem in Mathematical Economics. 1965 Industrial Management Review. 6 32-39
    Paper not yet in RePEc: Add citation now
  62. Merton, R.C. Theory of rational option pricing. 1973 Bell Journal of Economics. 4 141-183

  63. Myneni, R. The Pricing of the American Option. 1992 Annals of Applied Probability. 2 1-23
    Paper not yet in RePEc: Add citation now
  64. OEX-S&P100 Index Options, 1995. Chicago Board Options Exchange, Inc.
    Paper not yet in RePEc: Add citation now
  65. Overdahl, J.A. The early exercise of options on treasury bond futures. 1988 Journal of Financial and Quantitative Analysis. 23 437-449

  66. Pedersen, A.R., 1995a. A new approach to maximum likelihood estimation for stochastic differential equations based on discrete observations. Working paper, Department of Theoretical Statistics, University of Aarhus.
    Paper not yet in RePEc: Add citation now
  67. Pedersen, A.R., 1995b. Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes. Working paper, Department of Theoretical Statistics, University of Aarhus.
    Paper not yet in RePEc: Add citation now
  68. Renault, E., 1996. Econometric models of option pricing errors, Discussion paper, GREMAQ, Université de Toulouse I.

  69. Robinson, P.M. Nonparametric estimators for time series. 1983 Journal of Time Series Analysis. 4 185-207

  70. Rutkowski, M. The early exercise premium representation of foreign market American options. 1994 Mathematical Finance. 4 313-325

  71. Samuelson, P.A. Rational theory of warrant pricing. 1965 Industrial Management Review. 6 13-31
    Paper not yet in RePEc: Add citation now
  72. Schuster, E.F. Joint asymptotic distribution of the estimated regression function at a finite number of distinct points. 1972 Annals of Mathematical Statistics. 43 84-88
    Paper not yet in RePEc: Add citation now
  73. Scott, D.W. . 1992 Wiley: New York
    Paper not yet in RePEc: Add citation now
  74. Selby, M.J.P. ; Hodges, S.D. On the evaluation of compound options. 1987 Management Science. 33 347-355

  75. Silverman, B.W. . 1986 Chapman & Hall: London
    Paper not yet in RePEc: Add citation now
  76. Silverman, B.W. Spline smoothing: the equivalent variable kernel method. 1984 Annals of Statistics. 12 898-916
    Paper not yet in RePEc: Add citation now
  77. Singh, R.S. ; Ullah, A. Nonparametric time-series estimation of joint DGP, conditional DGP, and vector autoregressions. 1985 Econometric Theory. 1 27-52

  78. Stutzer, M. A simple nonparametric approach to derivative security valuation. 1996 Journal of Finance. 51 1633-1652

  79. Van Moerbeke, P. On optimal stopping and free boundary problems. 1976 Archive for Rational Mechanics and Analysis. 60 101-148
    Paper not yet in RePEc: Add citation now
  80. Wahba, G., 1990. Spline Models For Observational Data. Conference Board of Mathematical Sciences – National Science Foundation (CBMS – NSF) Regional Conference Series, vol. 59, Society for Industrial and Applied Mathematics (SIAM), Philadelphia.
    Paper not yet in RePEc: Add citation now
  81. Whaley, R.E. On the valuation of American call options on stocks with known dividends. 1981 Journal of Financial Economics. 9 207-211

  82. Yu, G., 1993. Essays on the valuation of American options. Ph.D. Dissertation, New York University.
    Paper not yet in RePEc: Add citation now
  83. Zivney, T.L. The value of early exercise in option prices: an empirical investigation. 1991 Journal of Financial and Quantitative Analysis. 26 129-138

Cocites

Documents in RePEc which have cited the same bibliography

  1. A non-parametric investigation of risk premia. (2007). Peroni, Chiara.
    In: MPRA Paper.
    RePEc:pra:mprapa:5126.

    Full description at Econpapers || Download paper

  2. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach. (2007). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-059.

    Full description at Econpapers || Download paper

  3. Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations. (2006). Hurn, Stan.
    In: Stan Hurn Discussion Papers.
    RePEc:qut:sthurn:2006.

    Full description at Econpapers || Download paper

  4. Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2. (2006). Hurn, Stan ; Lindsay, K. A. ; Jeisman, J..
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2006-2.

    Full description at Econpapers || Download paper

  5. Are feedback factors important in modelling financial data?. (2006). Veiga, Helena.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws060101.

    Full description at Econpapers || Download paper

  6. Simulation-Based Pricing of Convertible Bonds. (2005). Wilde, Christian ; Ammann, Manuel ; Kind, Axel.
    In: Finance.
    RePEc:wpa:wuwpfi:0507015.

    Full description at Econpapers || Download paper

  7. Term structure of interest models: concept and estimation problem in a continuous-time setting. (2005). Di Miscia, Orazio.
    In: Finance.
    RePEc:wpa:wuwpfi:0504017.

    Full description at Econpapers || Download paper

  8. Nonparametric estimation of diffusion process: a closer look. (2005). Di Miscia, Orazio.
    In: Finance.
    RePEc:wpa:wuwpfi:0504016.

    Full description at Econpapers || Download paper

  9. Estimation of continuous-time interest rate models: a nonparametric approach. (2005). Di Miscia, Orazio.
    In: Finance.
    RePEc:wpa:wuwpfi:0504015.

    Full description at Econpapers || Download paper

  10. Is There a Unit Root in East-Asian Short-Term Interest Rates?. (2005). Chua, Chew ; Suardi, Sandy.
    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2005n14.

    Full description at Econpapers || Download paper

  11. Density selection and combination under model ambiguity: an application to stock returns. (2005). D'Amico, Stefania.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-09.

    Full description at Econpapers || Download paper

  12. Testing the Parametric Specification of the Diffusion Function in a Diffusion Process. (2005). Li, Fuchun.
    In: Staff Working Papers.
    RePEc:bca:bocawp:05-35.

    Full description at Econpapers || Download paper

  13. PARAMETRIC ESTIMATION OF DIFFUSION PROCESSES SAMPLED AT FIRST EXIT TIME. (2004). Londoño, Jaime.
    In: Econometrics.
    RePEc:wpa:wuwpem:0305002.

    Full description at Econpapers || Download paper

  14. Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing. (2004). Gómez Biscarri, Javier ; Corzo, Teresa ; Santamaria, Teresa Corzo.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0304.

    Full description at Econpapers || Download paper

  15. Density Estimation and Combination under Model Ambiguity. (2004). D'Amico, Stefania.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:273.

    Full description at Econpapers || Download paper

  16. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise. (2003). Ait-Sahalia, Yacine ; Mykland, Per A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9611.

    Full description at Econpapers || Download paper

  17. Itô conditional moment generator and the estimation of short rate processes. (2003). Zhou, Hao.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-32.

    Full description at Econpapers || Download paper

  18. Simulation-based estimation of dynamic models with continuous equilibrium solutions. (2003). Santos, Manuel S..
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:we034716.

    Full description at Econpapers || Download paper

  19. Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions. (2003). Ghysels, Eric ; Florens, Jean-Pierre ; Chernov, Mikhail ; Carrasco, Marine.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-02.

    Full description at Econpapers || Download paper

  20. Market Risk and Volatility in the Brazilian Stock Market. (2003). Yoshino, Joe.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:6:y:2003:n:2:p:385-403.

    Full description at Econpapers || Download paper

  21. Nonparametric Option Pricing under Shape Restrictions. (2002). Ait-Sahalia, Yacine ; Duarte, Jefferson.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8944.

    Full description at Econpapers || Download paper

  22. Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns. (2002). Martin, Vance ; Lim, Guay.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-4.

    Full description at Econpapers || Download paper

  23. Semiparametric Diffusion Estimation and Application to a Stock Market Index. (2001). Platen, Eckhard ; Logeay, Camille ; Härdle, Wolfgang ; Hardle, Wolfgang ; Kleinow, Torsten ; Korostelev, Alexander.
    In: Research Paper Series.
    RePEc:uts:rpaper:51.

    Full description at Econpapers || Download paper

  24. Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets. (2001). Santa-Clara, Pedro ; Brandt, Michael W..
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0274.

    Full description at Econpapers || Download paper

  25. A Jump Difusion Yield Factor Model of Interest Rate. (2001). Brito, Ricardo ; Flores, R..
    In: Finance Lab Working Papers.
    RePEc:ibm:finlab:flwp_37.

    Full description at Econpapers || Download paper

  26. Jump-diffusion term structure and Ito conditional moment generator. (2001). Zhou, Hao.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2001-28.

    Full description at Econpapers || Download paper

  27. A Non-parametric Approach to Model the Term Structure of Interest Rates: The Case of Chile. (2001). Fernandez, Viviana.
    In: Documentos de Trabajo.
    RePEc:edj:ceauch:97.

    Full description at Econpapers || Download paper

  28. Fully Nonparametric Estimation of Scalar Diffusion Models. (2001). Phillips, Peter ; Bandi, Federico M..
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1332.

    Full description at Econpapers || Download paper

  29. On identification of continuous time stochastic processes. (2000). Berkowitz, Jeremy.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2000-07.

    Full description at Econpapers || Download paper

  30. Fundamental Properties of Bond Prices in Models of the Short-Term Rate. (2000). Mele, Antonio.
    In: THEMA Working Papers.
    RePEc:ema:worpap:2000-39.

    Full description at Econpapers || Download paper

  31. Trip Timing for Public Transportation : An Empirical Application. (2000). de Palma, André ; Mekkaoui, O. ; Fontan, C..
    In: THEMA Working Papers.
    RePEc:ema:worpap:2000-19.

    Full description at Econpapers || Download paper

  32. Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations. (2000). Mele, Antonio ; Fornari, Fabio.
    In: THEMA Working Papers.
    RePEc:ema:worpap:2000-12.

    Full description at Econpapers || Download paper

  33. Strong Rules for Detecting the Number of Breaks in a Time Series. (2000). Corradi, Valentina ; Altissimo, Filippo.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0574.

    Full description at Econpapers || Download paper

  34. Temporal Aggregation of Volatility Models. (2000). Renault, Eric ; Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2000s-22.

    Full description at Econpapers || Download paper

  35. Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis. (1999). Mele, Antonio ; Fornari, Fabio.
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:912.

    Full description at Econpapers || Download paper

  36. ARCH Models and Option Pricing: the Continuous-Time Connection. (1999). Mele, Antonio ; Fornari, Fabio.
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:113.

    Full description at Econpapers || Download paper

  37. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility. (1999). Richardson, Matthew ; Boudoukh, Jacob.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7213.

    Full description at Econpapers || Download paper

  38. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility. (1999). Whitelaw, Robert ; Stanton, Richard ; Richardson, Matthew ; Boudoukh, Jacob.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-042.

    Full description at Econpapers || Download paper

  39. Option-Based Tests of Interest Rate Diffusion Functions. (1999). Rosenberg, Joshua.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-026.

    Full description at Econpapers || Download paper

  40. Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach. (1998). Ait-Sahalia, Yacine.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0222.

    Full description at Econpapers || Download paper

  41. Nonstationary Density Estimation and Kernel Autoregression. (1998). Phillips, Peter ; Park, Joon.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1181.

    Full description at Econpapers || Download paper

  42. A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure. (1998). Ng, Serena ; Ghysels, Eric.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:403.

    Full description at Econpapers || Download paper

  43. Nonparametric density estimation and tests of continuous time interest rate models. (1997). Pritsker, Matt.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1997-26.

    Full description at Econpapers || Download paper

  44. A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure. (1997). Ng, Serena ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:97s-33.

    Full description at Econpapers || Download paper

  45. Nonparametric Methods and Option Pricing. (1997). Renault, Eric ; Ghysels, Eric ; Patilea, Valentin ; Torres, Olivier.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:97s-19.

    Full description at Econpapers || Download paper

  46. American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation. (1996). Ghysels, Eric ; Detemple, Jerome ; Torres, Olivier ; Broadie, Mark.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:96s-26.

    Full description at Econpapers || Download paper

  47. Nonparametric Estimation of American Options Exercise Boundaries and Call Prices. (1996). Ghysels, Eric ; Detemple, Jerome ; Torres, Olivier ; Broadie, Mark.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:96s-24.

    Full description at Econpapers || Download paper

  48. A Semi-Parametric Factor Model for Interest Rates. (1996). Ng, Serena ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:96s-18.

    Full description at Econpapers || Download paper

  49. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices. (1995). Lo, Andrew ; Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5351.

    Full description at Econpapers || Download paper

  50. Beta Regimes for the Yield Curve. (). De Giorgi, Enrico ; Audrino, Francesco.
    In: IEW - Working Papers.
    RePEc:zur:iewwpx:244.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-28 14:19:51 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.