ISBN: 9783838353579 - interest rate models for pricing zero coupon bond options: an empirical comparison (6 Ergebnisse)

Taschenbuch. Zustand: Neu. INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS | AN EMPIRICAL COMPARISON | Huseyin Senturk (u. a.) | Taschenbuch | 100 S. | Englisch | 2010 | LAP LAMBERT Academic Publishing | EAN 9783838353579 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. …

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Taschenbuch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 100 pp. Englisch.…

Taschenbuch. Zustand: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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.…

Zustand: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: SENTURK HuseyinHuseyin 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 .…

Taschenbuch. Zustand: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 100 pp. Englisch.…