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INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS: AN EMPIRICAL COMPARISON - Softcover

SENTURK, Huseyin; Ali, Mehmet

 
9783838353579: INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS: AN EMPIRICAL COMPARISON
Softcover
ISBN 10: 3838353579 ISBN 13: 9783838353579
Verlag: LAP Lambert Academic Publishing, 2010

Inhaltsangabe

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.

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Über die Autorin bzw. den Autor

Huseyin 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 at Middle East Technical University. Expert at Turkish Statistical Instutue, Ankara

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Verlag
LAP Lambert Academic Publishing
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
3838353579
ISBN 13 
9783838353579
Einband
Taschenbuch
Anzahl der Seiten
100
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
OmniScriptum
customerservice@vdm-vsg.de

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