Article ID Journal Published Year Pages File Type
9726013 International Review of Financial Analysis 2005 11 Pages PDF
Abstract
In this paper, we compute implied bond and contingent claim prices from the CKLS, Vasicek, CIR, and BS interest rate models using historical estimates for Canada, Hong Kong, and the United States. We find that default-free bond prices and contingent claim prices are sensitive to the assumed model used for these currencies, and that for Canada the CIR is the best, for Hong Kong the Vasicek and CIR models, and for the US the BS model.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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