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Linear bonds valuation with interest rate models : does it work?

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  • Rudy DE WINNE

    (Facultés Universitaires Catholiques de Mons (FUCaM))

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    Abstract

    This paper compares the implications of different interest rate models for valuing the so-called OLOs (Belgian coupons bonds). The prices of these bonds implied by some well-known one-factor models are compared to the actual prices observed on the market. Our finding suggest that these interest rate models are unsatisfactory, especially in valuing longer term bonds.

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    File URL: http://sites.uclouvain.be/econ/DP/REL/1998024.pdf
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    Bibliographic Info

    Paper provided by Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) in its series Discussion Papers (REL - Recherches Economiques de Louvain) with number 1998024.

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    Length: 12
    Date of creation: 01 Jun 1998
    Date of revision:
    Handle: RePEc:ctl:louvre:1998024

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