Implied derivative security prices based two-factor interest model: a UK application

In this paper the extended Box Method recently introduced to finance is used to value bond and option prices based on the two-factor CKLS interest rate model. The two-factor CKLS model is estimated using the one-year Eurodollar rate for the UK as the long rate and either the one-week, or one-month Euro dollar rate for the UK as the short rate. Overall, it is found that both and option prices are sensitive to the model used.

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Year of publication:	2005
Authors:	Sorwar, Ghulam
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 15.2005, 10, p. 739-744
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005451915