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Can I read Interest rate models and option pricing: A sensitivity analysis on EtoBox?
Interest rate models and option pricing: A sensitivity analysis by Y.K. Tse is a Engineering article available to read on EtoBox.
What is Interest rate models and option pricing: A sensitivity analysis about?
Interest rate is a fundamental determinant of asset prices in financial markets. Many stochastic models have been developed by academic researchers in the continuous-time setting (see, e.g., Vasicek [10], Brennan and Schwartz [1 ], Cox, Ingersoll and Ross ). These models provide a rich framework for specifying the dynamic behaviour of interest rates. Based on an assumed stochastic interest rate model interest-rate contingent securities, such as bonds and bond options, can be evaluated as solutions to some partial differential equations. For certain models (such as the Vasicek and Cox-Ingersoll-Ross models) analytic solutions are available. Otherwise, numerical methods may be used to price the interest-rate contingent securities. While much has been done on the pricing of securities conditional on an assumed interest rate model, little research has been focused on the estimation and selection of interest rate models. Recently, Chan, Karolyi, Longstaff and Sanders (CKLS hereafter) [ 2,3] compared empirically various interest rate models for Japan and U.S. under a general framework of a stochastic differential equation. Similar research has been extended to other countries by Tse . It
Who reads Interest rate models and option pricing: A sensitivity analysis?
It is typically read by researchers, students, and practitioners in Engineering.
- Author
- Y.K. Tse
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0378-4754)
- Published
- 1995
- Language
- EN
- Field
- Engineering (Physical Sciences)