01608cam a22002297 4500001000600000003000500006005001700011008004100028100002500069245011100094260006600205490004100271500001900312520069700331530006101028538007201089538003601161710004201197830007601239856003701315856002601352w5345NBER20140801232004.0140801s1995 mau||||fs|||| 000 0 eng d1 aAit-Sahalia, Yacine.10aNonparametric Pricing of Interest Rate Derivative Securitiesh[electronic resource] /cYacine Ait-Sahalia. aCambridge, Mass.bNational Bureau of Economic Researchc1995.1 aNBER working paper seriesvno. w5345 aNovember 1995.3 aWe propose a nonparametric estimation procedure for continuous- time stochastic models. Because prices of derivative securities depend crucially on the form of the instantaneous volatility of the underlying process, we leave the volatility function unrestricted and estimate it nonparametrically. Only discrete data are used but the estimation procedure still does not rely on replacing the continuous- time model by some discrete approximation. Instead the drift and volatility functions are forced to match the densities of the process. We estimate the stochastic differential equation followed by the short term interest rate and compute nonparametric prices for bonds and bond options. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web.2 aNational Bureau of Economic Research. 0aWorking Paper Series (National Bureau of Economic Research)vno. w5345.4 uhttp://www.nber.org/papers/w5345 uurn:doi:10.3386/w5345