Pricing Interest-Rate-Derivative Securities.
This article shows that the one-state-variable interest-rate models of Vasicek (1977) and Cox, Ingersoll, and Ross (1985b) can be extended so that they are consistent with both the current term structure of interest rates and either the current volatilities of all spot interest rates or the current volatilities of all forward interest rates. The extended Vasicek model is shown to be very tractable analytically. The article compares option prices obtained using the extended Vasicek model with those obtained using a number of other models. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
Year of publication: |
1990
|
---|---|
Authors: | Hull, John ; White, Alan |
Published in: |
Review of Financial Studies. - Society for Financial Studies - SFS. - Vol. 3.1990, 4, p. 573-92
|
Publisher: |
Society for Financial Studies - SFS |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
The Role of Default Correlation in Valuing Credit Dependant Securities
Bobey, William, (2008)
-
The pricing of options on assets with stochastic volatilities
Hull, John, (1987)
-
The risk of tranches created from mortgages
Hull, John, (2010)
- More ...