Pricing UK and US securities within the CKLS model Further results |
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| Institution: | 1. Canterbury Business School, University of Kent at Canterbury, Canterbury, Kent, CT2 7PE, UK;2. Cardiff Business School, Aberconway Building, Column Drive, Cardiff, CF1 3EU, UK;1. University of New Hampshire, United States;2. Sewanee University of the South, United States;3. Marquette University, United States;1. Center of Complementary and Integrative Medicine, Institute of Oncology at Tel-Aviv Sourasky Medical Center, Sackler Faculty of Medicine, Tel-Aviv University, 6 Weizmann St., Tel-Aviv 64239, Israel;2. Department of Psychiatry and Behavioral Sciences, The Johns Hopkins School of Medicine, Baltimore, MD;1. School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA 30318, United States;2. Department of Mathematics, University of Alabama, Tuscaloosa, AL 35487-0350, United States;3. Department of Mathematics, Marist College, Poughkeepsie, NY 12601, United States;4. Department of Mathematics, University of Connecticut, Storrs, CT 06269, United States |
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| Abstract: | In a recent article, Byers and Nowman obtained estimates of the CKLS interest rate model based on weekly Euro-currency data for the UK and US over a range of maturities. In this article we apply the Box numerical method for valuing default free bonds and cointegent claims using these historical UK and US estimates to 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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