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An Empirical Comparison of Forward-Rate and Spot-Rate Models for Valuing Interest-Rate Options

✍ Scribed by Wolfgang Bühler, Marliese Uhrig-Homburg, Ulrich Walter and Thomas Weber

Book ID
123709203
Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
740 KB
Volume
54
Category
Article
ISSN
0022-1082

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An empirical comparison of continuous ti
An empirical comparison of continuous time models of the short term interest rate
✍ Bali, Turan G. 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 225 KB 👁 2 views

This article tests the performance of a wide variety of well-known continuous time models-with particular emphasis on the Black, Derman, and Toy (1990; henceforth BDT) term structure model-in capturing the stochastic behavior of the short term interest rate volatility. Many popular interest rate mod