Abstract: The present paper shows that the integral equation with which the price of underlying assets meets can be written as a regression model，on the basis of the weighted local linear estimator of the regression function is established in the regression model.The estimator of the sample of the drift coefficient depending on the adapatation of the estimator of the regression function is also constructed.The average squared convergence property of the estimator of the sample is also proved so as to make it possible that we can use the estimator of the sample to construct the estimator of the drift coefficient.

Key words: drift coefficient, regression model, weighted local linear estimator, estimator of sample