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

• 成果类型: Article
• 署名作者: Bühler, W; Uhrig-Homburg, M; Walter, U; Weber, T
• 署名单位: University of Mannheim
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00104
• 发表日期: 1999
• 页码: 269-305
• 关键词: RATE-DERIVATIVE SECURITIES; RATE CONTINGENT CLAIMS; term structure; equilibrium-model; volatility; valuation

摘要

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.