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
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.
Acheter neuf
Afficher cet article
EUR 41,05
EUR 9,70 expédition depuis Allemagne vers France
Destinations, frais et délaisRésultats de recherche pour INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS:...
Image fournie par le vendeur
INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS
Edité par
LAP LAMBERT Academic Publishing, 2010
ISBN 10 : 3838353579
ISBN 13 : 9783838353579
Neuf
Couverture souple
Vendeur : moluna, Greven, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: SENTURK HuseyinHuseyin SENTURK, B.A. Statistics, M.S. Financial Mathematics at Middle East Technical University. Expert at Turkish Statistical Instutue, Ankara. Mehmet Ali KARADAG, B.A. Statistics, M.S. Financial Mathematics . N° de réf. du vendeur 5415763
Quantité disponible : Plus de 20 disponibles
Image fournie par le vendeur
INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS : AN EMPIRICAL COMPARISON
Edité par
LAP LAMBERT Academic Publishing, 2010
ISBN 10 : 3838353579
ISBN 13 : 9783838353579
Neuf
Taschenbuch
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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. N° de réf. du vendeur 9783838353579
Quantité disponible : 1 disponible(s)
Image fournie par le vendeur
INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS
Edité par
LAP LAMBERT Academic Publishing Mrz 2010, 2010
ISBN 10 : 3838353579
ISBN 13 : 9783838353579
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 100 pp. Englisch. N° de réf. du vendeur 9783838353579
Quantité disponible : 2 disponible(s)
Image fournie par le vendeur
INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS
Edité par
LAP LAMBERT Academic Publishing Mär 2010, 2010
ISBN 10 : 3838353579
ISBN 13 : 9783838353579
Neuf
Taschenbuch
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. Neuware -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.Books on Demand GmbH, Überseering 33, 22297 Hamburg 100 pp. Englisch. N° de réf. du vendeur 9783838353579
Quantité disponible : 2 disponible(s)
Image d'archives
INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS: AN EMPIRICAL COMPARISON
Edité par
LAP Lambert Academic Publishing, 2010
ISBN 10 : 3838353579
ISBN 13 : 9783838353579
Ancien ou d'occasion
Paperback
Vendeur : Mispah books, Redhill, SURRE, Royaume-Uni
Évaluation du vendeur 4 sur 5 étoiles
Paperback. Etat : Like New. Like New. book. N° de réf. du vendeur ERICA75838383535795
Quantité disponible : 1 disponible(s)