An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options

被引：24

作者：

Bühler, W ^{[1
]}

Uhrig-Homburg, M

Walter, U

Weber, T

机构：

[1] Univ Mannheim, D-6800 Mannheim 1, Germany

[2] Infin Financial Technol, London, England

来源：

JOURNAL OF FINANCE | 1999年 / 54卷 / 01期

关键词：

D O I：

10.1111/0022-1082.00104

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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-rate 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.

引用

页码：269 / 305

页数：37

共 34 条

[1] IMPLIED VOLATILITY FUNCTIONS IN ARBITRAGE-FREE TERM STRUCTURE MODELS [J].