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

Bühler, W.; Uhrig-Homburg, M.; Walter, U.; Weber, Th.

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 period from 1990 to 1993. We identify a one-factor forward-rate model and two spot-rate models with two factors that are not significantly outperformed by any of the other four models. Further rankings are possible if additional criteria are applied.

Zitationen: 34
Web of Science
Zitationen: 24
Zugehörige Institution(en) am KIT Institut für Finanzwirtschaft, Banken und Versicherungen (FBV)
Publikationstyp Zeitschriftenaufsatz
Jahr 1999
Sprache Englisch
Identifikator ISSN: 0022-1082, 1540-6261
KITopen-ID: 1000016923
Erschienen in The journal of finance
Band 54
Seiten 269-305
Nachgewiesen in Web of Science
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