Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models
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Publication:491007
DOI10.1016/j.cam.2015.02.031zbMath1320.91149OpenAlexW2062142311MaRDI QIDQ491007
L. Gómez-Valle, J. Martínez-Rodríguez
Publication date: 24 August 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2015.02.031
numerical differentiationinterest ratesnonparametric estimationjump-diffusion stochastic processesyield curves
Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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