A comparison of models for pricing interest rate derivative securities

Autor:	Chris Strickland
Rok vydání:	1996
Předmět:	Vasicek model Actuarial science Interest rate derivative Mathematical model media_common.quotation_subject Economics Econometrics and Finance (miscellaneous) Interest rate Term (time) Derivative (finance) Short-rate model Economics Econometrics Rendleman–Bartter model media_common
Zdroj:	The European Journal of Finance. 2:261-287
ISSN:	1466-4364 1351-847X
DOI:	10.1080/13518479600000008
Popis:	This paper looks at the different approaches and different models that have been developed to value interest rate-dependent securities, providing a survey of pricing procedures which are based on mathematical models of the term structure. It can be viewed as a reference for the different interest rate models with explicit representations, where they exist, for prices of derivative instruments and an an analysis of their respective advantages and disadvantages.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::39294ad8b859f15533fef0f98738402c https://doi.org/10.1080/13518479600000008 Zobrazit plný text záznamu