Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9726013 | International Review of Financial Analysis | 2005 | 11 Pages |
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
K. Ben Nowman, Ghulam Sorwar,