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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/7074
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| wb954505.pdf | -- 2010-03-01 -- Available on Internet -- preprint | 562,48 kB | Adobe PDF | |  |
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| Title: | On the term structure of Interbank interest rates: jump-diffusion processes and option pricing |
| Author(s): | Moreno, Manuel
Peña Sánchez de Rivera, Juan Ignacio [ypenya] |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Estadística |
| Issued date: | Oct-1995 |
| URI: | http://hdl.handle.net/10016/7074 |
| Abstract: | In this paper we study the dynamic behavior of the term structure of Interbank interest rates and the pricing of options on interest rate sensitive securities. We posit a generalized single factor model with jumps to take into account external influences in the market. Daily data is used to test for jump effects. Qualitative examination of the linkage between Monetary Authorities interventions and jumps are studied. Pricing results suggests a systematic underpricing in bonds and call options if the jump component is not inc1uded. However, the pricing of put options on bonds presents indeterminacies. |
| Serie / Nº.: | UC3M Working papers. Statistics and Econometrics
95-46-06 |
| Appears in Collections: | DES - Working Papers. Statistics and Econometrics. WS
Economists Online
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