Derivative prices from interest rate models: results for Canada, Hong Kong, and United States |
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| Authors: | K Ben Nowman Ghulam Sorwar |
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| Institution: | a Department of Finance and Business Law, Westminster Business School, University of Westminster, 35 Maryleborne Road, London NW1 5LS, United Kingdom
b Cardiff Business School, Aberconway Building, Column Drive, Cardiff, CF1 3EU, UK |
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| Abstract: | In this paper, we compute implied bond and contingent claim prices from the CKLS, Vasicek, CIR, and BS interest rate models using historical estimates for Canada, Hong Kong, and the United States. We find that default-free bond prices and contingent claim prices are sensitive to the assumed model used for these currencies, and that for Canada the CIR is the best, for Hong Kong the Vasicek and CIR models, and for the US the BS model. |
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| Keywords: | G13 C19 |
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