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Valuation of Interest Rate Options in a Two-Factor Model of the Term Structure of Interest Rate

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  • Constantin Mellios

    (Laboratoire Orléanais de Gestion)

Abstract

Nous présentons un modèle de la structure par terme des taux d'intérêt à deux variables d'état : le taux d'intérêt instantané et sa valeur moyenne observée sur une courte période. Le choix des facteurs est fondé sur les résultats de tests empiriques de la gamme des taux et tente de pallier les faiblesses théoriques des modèles existants. Dans le cadre de ce modèle, nous évaluons les options sur obligations et sur contrats forward et futures d'obligations.

Suggested Citation

  • Constantin Mellios, 2001. "Valuation of Interest Rate Options in a Two-Factor Model of the Term Structure of Interest Rate," Working Papers 2001-1, Laboratoire Orléanais de Gestion - université d'Orléans.
  • Handle: RePEc:log:wpaper:2001-1
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    References listed on IDEAS

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    Keywords

    interest rates; finance;

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