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


Bühler, Wolfgang ; Uhrig-Homburg, Marliese ; Walter, Ulrich ; Weber, Thomas


URL: http://onlinelibrary.wiley.com/doi/10.1111/0022-10...
Additional URL: http://www.jstor.org/stable/222416
Document Type: Article
Year of publication: 1999
The title of a journal, publication series: Journal of Finance
Volume: 54
Issue number: 1
Page range: 269-305
Place of publication: Hoboken, NJ
Publishing house: Wiley
ISSN: 0022-1082
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Bühler Em)
Subject: 330 Economics
Abstract: Our main goal is to investigate the question of which interest-rate options valuation models are better suited to support the management of interest-rate risk. We use the German market to test seven spot- and forward-rate models with one and two factors for interest-rate warrants for the period from 1990 to 1993. We identify a one-factor forward-rate model and two spot-rate models with two factors that are not significantly outperformed by any of the other four models. Further rankings are possible if additional criteria are applied.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Bühler, Wolfgang ; Uhrig-Homburg, Marliese ; Walter, Ulrich ; Weber, Thomas (1999) An Empirical Comparison of Forward-Rate and Spot-Rate Models for Valuing Interest-Rate Options. Journal of Finance Hoboken, NJ 54 1 269-305 [Article]


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