Implied derivative security prices based two-factor interest model: a UK application
AbstractIn this paper the extended Box Method recently introduced to finance is used to value bond and option prices based on the two-factor CKLS interest rate model. The two-factor CKLS model is estimated using the one-year Eurodollar rate for the UK as the long rate and either the one-week, or one-month Euro dollar rate for the UK as the short rate. Overall, it is found that both and option prices are sensitive to the model used.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 15 (2005)
Issue (Month): 10 ()
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Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
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