Please use this identifier to cite or link to this item:
Moraleda, Juan M.
Vorst, Ton
Year of Publication: 
Series/Report no.: 
Tinbergen Institute Discussion Paper 96-170/2
This paper studies empirical issues of one-factor yield curve models. We focus on the models by Hoand Lee (1986), Hull and White (1990) and Moraleda and Vorst (1996). To be consistent in thecomparison of the models, we derive them all within the Ritkchen and Sankarasubramanian (1995)framework, which is a subset of the very general Heath, Jarrow and Morton (1992) model. Weestimate model parameters from historical time series of government bond prices. The model byMoraleda and Vorst (1996) turns out to best explain the yield curve dynamics through time.Moreover, humped shapes in the volatility structure as modelled in this model are typically found.Next, we use these parameter estimations for pricing options traded in the Spanish financial market.A comparison between model and market option prices is provided.
Document Type: 
Working Paper

Files in This Item:
554.94 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.