An Empirical Comparison of Forward-Rate and Spot-Rate Models for Valuing Interest-Rate Options

Our main goal is to investigate the question of which interest-rate options valuationmodels are better suited to support the management of interest-rate risk. Weuse the German market to test seven spot-rate and forward-rate models with oneand two factors for interest-rate warrants for the period from 1990 to 1993. Weidentify a one-factor forward-rate model and two spot-rate models with two factorsthat are not significantly outperformed by any of the other four models. Furtherrankings are possible if additional criteria are applied.[...]

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Year of publication:	1999-02-01
Authors:	Bühler, Wolfgang ; Uhrig-Homburg, Marliese ; Walter, Ulrich ; Weber, Thomas
Institutions:	Universität <Mannheim> / Fakultät für Betriebswirtschaftslehre ; Universität <Mannheim> / Fakultät für Betriebswirtschaftslehre ; DG-Bank <Frankfurt, Main> ; Infinity Financial Technology, London
Published in:	Karlsruher Institut für Technologie - Wissenschaftliche Beiträge in Zeitschriften THE JOURNAL OF FINANCE e VOL. LIV, NO. 1
Subject:	Zinsfuß \| Wechselkurs \| Zinsänderungsrisiko \| Optionsschein \| warrants

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Extent:	782336 bytes 38 p. application/pdf
Type of publication:	Article
Language:	English
Classification:	Financial theory ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10008939822