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Author: | Nowman, K. B. Sorwar, G. |
Title: | Pricing UK and US securities within the CKLS model further results |
Journal: | International Review of Financial Analysis
1999 : VOL. 8:3, p. 235-245 |
Index terms: | Shares Stock markets Pricing Bonds |
Language: | eng |
Abstract: | The authors apply the Box numerical method for valuing default free bonds and cointengent claims using these historical UK and US estimates to compare implied bond and cointegent claim prices. The results indicate that default free bond prices and contingent claim prices are sensitive to the underlying interest rate model used. |
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