TITLE

Derivative prices from interest rate models: results for Canada, Hong Kong, and United States

AUTHOR(S)
Nowman, K. Ben; Sorwar, Ghulam
PUB. DATE
November 2005
SOURCE
International Review of Financial Analysis;2005, Vol. 14 Issue 4, p428
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
Abstract: In this paper, we compute implied bond and contingent claim prices from the CKLS, Vasicek, CIR, and BS interest rate models using historical estimates for Canada, Hong Kong, and the United States. We find that default-free bond prices and contingent claim prices are sensitive to the assumed model used for these currencies, and that for Canada the CIR is the best, for Hong Kong the Vasicek and CIR models, and for the US the BS model.
ACCESSION #
18273925

 

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