Artículos relacionados a INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS:...
Sinopsis
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.
"Sinopsis" puede pertenecer a otra edición de este libro.
Reseña del editor
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.
"Sobre este título" puede pertenecer a otra edición de este libro.
Comprar nuevo
Ver este artículo
EUR 49,00
EUR 11,00 gastos de envío desde Alemania a España
Destinos, gastos y plazos de envíoResultados de la búsqueda para INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS:...
Imagen del vendedor
INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS
Publicado por
LAP LAMBERT Academic Publishing Mrz 2010, 2010
ISBN 10: 3838353579
ISBN 13: 9783838353579
Nuevo
Taschenbuch
Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: 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. Nº de ref. del artículo: 9783838353579
Cantidad disponible: 2 disponibles
Imagen del vendedor
INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS
Publicado por
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838353579
ISBN 13: 9783838353579
Nuevo
Tapa blanda
Librería: moluna, Greven, Alemania
Calificación del vendedor: 5 de 5 estrellas
Condición: 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 . Nº de ref. del artículo: 5415763
Cantidad disponible: Más de 20 disponibles
Imagen del vendedor
INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS : AN EMPIRICAL COMPARISON
Publicado por
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838353579
ISBN 13: 9783838353579
Nuevo
Taschenbuch
Librería: AHA-BUCH GmbH, Einbeck, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: 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. Nº de ref. del artículo: 9783838353579
Cantidad disponible: 1 disponibles
Imagen del vendedor
INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS
Publicado por
LAP LAMBERT Academic Publishing Mär 2010, 2010
ISBN 10: 3838353579
ISBN 13: 9783838353579
Nuevo
Taschenbuch
Librería: buchversandmimpf2000, Emtmannsberg, BAYE, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. 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.Books on Demand GmbH, Überseering 33, 22297 Hamburg 100 pp. Englisch. Nº de ref. del artículo: 9783838353579
Cantidad disponible: 2 disponibles
Imagen de archivo
INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS: AN EMPIRICAL COMPARISON
Publicado por
LAP Lambert Academic Publishing, 2010
ISBN 10: 3838353579
ISBN 13: 9783838353579
Antiguo o usado
Paperback
Librería: Mispah books, Redhill, SURRE, Reino Unido
Calificación del vendedor: 4 de 5 estrellas
Paperback. Condición: Like New. Like New. book. Nº de ref. del artículo: ERICA75838383535795
Cantidad disponible: 1 disponibles