Linear bonds valuation with interest rate models : does it work?

This paper compares the implications of different interest rate models for valuing the so-called OLOs (Belgian coupons bonds). The prices of these bonds implied by some well-known one-factor models are compared to the actual prices observed on the market. Our finding suggest that these interest rate models are unsatisfactory, especially in valuing longer term bonds.

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Year of publication:	1998-06-01
Authors:	WINNE, Rudy DE
Institutions:	Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain

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Extent:	application/pdf
Series:	Discussion Papers (REL - Recherches Economiques de Louvain).
Type of publication:	Book / Working Paper
Notes:	The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Sciences Economiques Number 1998024 1 pages long
Classification:	E4 - Money and Interest Rates ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008505588