Implied Bond and Derivative Prices Based on Non-Linear Stochastic Interest Rate Models

• 作者: Ghulam Sorwar Sharif Mozumder
• 来源期刊: 应用数学(英文)
• 学科: 数学
• 关键词: Stochastic INTEREST Rates Derivatives BOX Method
• 年，卷（期）: 2010,（1）
• 页码范围: 37-43
• 页数: 7页
• 分类号: O1

摘要

In this paper we expand the Box Method of Sorwar et al. (2007) to value both default free bonds and interest rate contingent claims based on one factor non-linear interest rate models. Further we propose a one-factor non-linear interest rate model that incorporates features suggested by recent research. An example shows the extended Box Method works well in practice.