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An Empirical Comparison of Forward-Rate and Spot-Rate Models for Valuing Interest-Rate Options

Bühler, Wolfgang; Uhrig-Homburg, Marliese; Walter, Ulrich - Universität <Mannheim> / Fakultät für …; … - 1999

Our main goal is to investigate the question of which interest-rate options valuationmodels are better suited to support the management of interest-rate risk. Weuse the German market to test seven spot-rate and forward-rate models with oneand two factors for interest-rate warrants for the period...

Persistent link: https://www.econbiz.de/10008939822

An Empirical Comparison of Forward-Rate and Spot-Rate Models for Valuing Interest-Rate Options

Bühler, Wolfgang; Uhrig-Homburg, Marliese; Walter, Ulrich - In: Journal of Finance 54 (1999) 1, pp. 269-305

Our main goal is to investigate the question of which interest-rate options valuation models are better suited to support the management of interest-rate risk. We use the German market to test seven spot-rate and forward-rate models with one and two factors for interest-rate warrants for the...

Persistent link: https://www.econbiz.de/10005162071

An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options

Bühler, Wolfgang; Uhrig-Homburg, Marliese; Walter, Ulrich - In: The journal of finance : the journal of the American … 54 (1999) 1, pp. 269-305

Persistent link: https://www.econbiz.de/10001355209

Economic and Econometric Problems in Valuing Interest Rate Options

Bühler, Wolfgang; Uhrig, Marliese; Walter, Ulrich; … - In: Allgemeines statistisches Archiv : AStA ; journal of … 81 (1997) 1, pp. 25-47

Persistent link: https://www.econbiz.de/10006584622

ARTICLES - An Empirical Comparison of Forward-Rate and Spot-Rate Models for Valuing Interest-Rate Options

Bühler, Wolfgang; Uhrig-Homburg, Marliese; Walter, Ulrich - In: The journal of finance : the journal of the American … 54 (1999) 1, pp. 269-306

Persistent link: https://www.econbiz.de/10007344324