An Evaluation of Contingent Claims Using the CKLS Interest Rate Model: An Analysis of Australia, Japan, and the United Kingdom

被引：0
|
作者：
K. Ben Nowman
Ghulam Sorwar
机构：
[1] University of Kent,Canterbury Business School
[2] Canterbury,Department of Accounting, Finance and Law, Faculty of Management
[3] University of Stirling,undefined
[4] Stirling,undefined
来源：
Asia-Pacific Financial Markets | 1999年 / 6卷 / 3期
关键词：
bonds; CKLS; contingent claims; single factor models;
D O I：
10.1023/A:1010013604561
中图分类号：
学科分类号：
摘要：
In this paper we apply a new efficient numerical method for valuing default free bonds and contingent claims within the CKLS interest rate model. Using historical parameter estimates of the CKLS model for Australia, Japan, and the United Kingdom we compare implied bond and contingent claim prices. Our results indicate that default free bond prices and contingent claim prices are sensitive to the underlying interest rate model used.
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页码：205 / 219
页数：14
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