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Consistent versus non-consistent term structure models : some evidence from the Spanish market
Navas, Javier F.
- In:
The journal of fixed income
9
(
1999
)
3
,
pp. 42-60
Persistent link: https://www.econbiz.de/10001448117
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SYMPOSIUM ON TERM STRUCTURE MODELS AND INTEREST RATE VOLATILITY - CONSISTENT VERSUS NON-CONSISTENT TERM STRUCTURE MODELS: SOME EVIDENCE FROM THE SPANISH MARKET - This article prices caps and swaptions in the Spanish market using the Vasicek, Cox, Ingersoll, and Ross and Hull and White (HW) models. Derivatives prices obtained with the Vasicek and CIR models estimated from time series data are very ...
Navas, Javier F.
- In:
The journal of fixed income
9
(
1999
)
3
,
pp. 42-60
Persistent link: https://www.econbiz.de/10007182907
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