Implied option prices from the continuous time CKLS interest rate model: an application to the UK

Nowman, K. Ben and Sorwar, Ghulam (2003) Implied option prices from the continuous time CKLS interest rate model: an application to the UK. Applied Financial Economics, 13 (3). pp. 191-197. ISSN 0960-3107

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Official URL: http://dx.doi.org/10.1080/09603100110112041

Abstract

In this paper a numerical procedure recently applied in finance is used to compute implied bond and contingent claim prices starting from the CKLS interest rate model. The CKLS model is estimated using a range of maturities from the UK interbank market including the one week and one, two, three, six and twelve month rates. It is found that the implied default free bond prices and contingent claim prices vary across models and maturities for the UK.

Item Type: Article
Additional Information: Online ISSN 1466-4305
Subjects: University of Westminster > Westminster Business School
Depositing User: Users 4 not found.
Date Deposited: 21 Sep 2005
Last Modified: 13 Oct 2009 15:17
URI: http://westminsterresearch.wmin.ac.uk/id/eprint/742

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