Articles liés à INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS:...

INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS: AN EMPIRICAL COMPARISON - Couverture souple

SENTURK, Huseyin; Ali, Mehmet

 
9783838353579: INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS: AN EMPIRICAL COMPARISON
Couverture souple
ISBN 10 : 3838353579 ISBN 13 : 9783838353579
Editeur : LAP Lambert Academic Publishing, 2010

Synopsis

The aim of this study is to compare the performance of the four interest rate models (Vasicek Model, Cox Ingersoll Ross Model, Ho Lee Model and Black Derman Toy Model) that are commonly used in pricing zero coupon bond options. In this study, 1-5 years US Treasury Bond daily data between the dates June 1, 1976 and December 31, 2009 are used. By using the four interest rate models, estimated option prices are compared with the real observed prices for the begining work days of each months of the years 2007 and 2008. The models are then evaluated according to the sum of squared errors. Option prices are found by constructing interest rate trees for the binomial models based on Ho Lee Model and Black Derman Toy Model and by estimating the parameters for the Vasicek and the Cox Ingersoll Ross Models.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

The aim of this study is to compare the performance of the four interest rate models (Vasicek Model, Cox Ingersoll Ross Model, Ho Lee Model and Black Derman Toy Model) that are commonly used in pricing zero coupon bond options. In this study, 1-5 years US Treasury Bond daily data between the dates June 1, 1976 and December 31, 2009 are used. By using the four interest rate models, estimated option prices are compared with the real observed prices for the begining work days of each months of the years 2007 and 2008. The models are then evaluated according to the sum of squared errors. Option prices are found by constructing interest rate trees for the binomial models based on Ho Lee Model and Black Derman Toy Model and by estimating the parameters for the Vasicek and the Cox Ingersoll Ross Models.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP Lambert Academic Publishing
Date d'édition
2010
Langue
anglais
ISBN 10 
3838353579
ISBN 13 
9783838353579
Reliure
Broché
Nombre de pages
100
Coordonnées du fabricant
non disponible
Personne responsable
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