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An empirical study of the term structure of interest rates

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  • Miltersen, Kristian R.

Abstract

This paper is an empirical study of the Heath-Jarrow-Morton model using Generalized Method of Moments and Simulated Method of Moments on Danish bond and option prices. The paper implements a simulation approach to price contingent claims written on purely interest rate-dependent securities fulfilling the Heath-Jarrow-Morton model. This method implies simulation of solutions of stochastic differential equations since the theoretical pricing model is too complicated to give closed form pricing formulas.

Suggested Citation

  • Miltersen, Kristian R., 1993. "An empirical study of the term structure of interest rates," Scandinavian Journal of Management, Elsevier, vol. 9(Supplemen), pages 29-46.
    • Handle: RePEc:eee:scaman:v:9:y:1993:i:supplement1:p:s29-s46
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