Derivative prices from interest rate models: results for Canada, Hong Kong, and United States

Nowman, K. Ben and Sorwar, Ghulam (2005) Derivative prices from interest rate models: results for Canada, Hong Kong, and United States. International Review of Financial Analysis, 14 (4). pp. 428-438. ISSN 1057-5219

Full text not available from this repository.
Official URL: http://dx.doi.org/10.1016/j.irfa.2004.10.010

Abstract

In this paper, we compute implied bond and contingent claim prices from the CKLS, Vasicek, CIR, and BS interest rate models using historical estimates for Canada, Hong Kong, and the United States. We find that default-free bond prices and contingent claim prices are sensitive to the assumed model used for these currencies, and that for Canada the CIR is the best, for Hong Kong the Vasicek and CIR models, and for the US the BS model.

Item Type: Article
Uncontrolled Keywords: CKLS, Bonds, Prices, Call, Puts
Subjects: University of Westminster > Westminster Business School
Depositing User: Miss Nina Watts
Date Deposited: 30 Jun 2006
Last Modified: 13 Oct 2009 15:13
URI: http://westminsterresearch.wmin.ac.uk/id/eprint/2277

Actions (login required)

Edit Item (Repository staff only) Edit Item (Repository staff only)