WestminsterResearch

An international comparison of pricing callable and puttable bonds in interbank financial markets

Nowman, K. Ben and Sorwar, Ghulam (2001) An international comparison of pricing callable and puttable bonds in interbank financial markets. Managerial Finance, 27 (1/2). pp. 99-110. ISSN 0307-4358

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Abstract

In this paper we apply the Box method of Barone-Adesi et al (1997) to value default free bonds and contingent claims starting from the CKLS model. Using the Box method and recently obtained historical interbank estimates of the CKLS model obtained for Australia, Belgium,Germany, Japan, Netherlands, NewZealand and Switzerland, we have calculated implied bond and contingent claim prices for these currencies. Our results indicate that default free bonds, as well as callable and puttable bond prices are especially sensitive to the underlying interest rate model used and varies over the international currencies examined.

Item Type:Article
Uncontrolled Keywords:Accounting research, Bonds, Interest rates, Modelling
Research Community:University of Westminster > Westminster Business School
ID Code:807
Deposited On:27 Sep 2005
Last Modified:13 Oct 2009 16:22

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