Implied option prices from the continuous time CKLS interest rate model: an application to the UK

In this paper a numerical procedure recently applied in finance is used to compute implied bond and contingent claim prices starting from the CKLS interest rate model. The CKLS model is estimated using a range of maturities from the UK interbank market including the one week and one, two, three, six and twelve month rates. It is found that the implied default free bond prices and contingent claim prices vary across models and maturities for the UK.

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Year of publication:	2003
Authors:	Nowman, K. Ben ; Sorwar, Ghulam
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 13.2003, 3, p. 191-197
Publisher:	Taylor & Francis Journals

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

Persistent link: https://www.econbiz.de/10005452379