Discrete-time continuous-state interest rate models / Michael A. Sullivan.

Format:

Book

Government document

Author/Creator:

Sullivan, Michael A.

Contributor:

United States. Office of the Comptroller of the Currency

Series:

Economic and policy analysis working paper (2000) ; 2000-6.

[Economic and policy analysis working paper ; 2000-6]

Language:

English

Subjects (All):

Interest rates--Econometric models.

Interest rates.

Physical Description:

1 online resource (22 pages)

Place of Publication:

[Washington, D.C.] : U.S. Office of the Comptroller of the Currency, [2000]

Summary:

"We show how to implement arbitrage-free models of the short-term interest rate in discrete-time setting that allows continuum of rates at any particular date. Discrete time allows approximate pricing of interest rate contingent claims that cannot be valued in continuous-timemodels. It is usually associated with discrete states, with possible interest rates restricted to a limited number of outcomes, as in the lattice model of Hull and White (1994). We develop a method for approximating the prices of contingent claims without that restriction. We usenumerical integration to evaluate the risk-neutral expectations that define those prices, and function approximation to efficiently summarize the information. The procedure is simpleand flexible. We illustrate its properties in the extended Vasicek model of Hull and Whiteand show it to be an effective alternative to lattice methods"--Office of the Comptroller of the Currency web site

Notes:

Title from title screen (viewed on January 30, 2004).

"April 2000."

Date of issue and series statement from pre-page.

Includes bibliographical references.

Electronic reproduction. [Place of publication not identified]: HathiTrust Digital Library. 2023.

Other Format:

Sullivan, Michael A. Discrete-time continuous-state interest rate models

OCLC:

54357031

Access Restriction:

Use copy Restrictions unspecified