search query: @indexterm Warrants / total: 25
reference: 17 / 25
| Author: | Uhrig, M. |
| Title: | Bewertung von Zinsoptionen bei stochastischer Volatilität |
| Journal: | Zeitschrift für Betriebswirtschaft
1997 : VOL. 67:3, p. 285-309 |
| Index terms: | INTEREST RATES WARRANTS VALUATION VOLATILITY EMPIRICAL RESEARCH GERMANY |
| Language: | ger |
| Abstract: | In this paper the extended Longstaff/Schwartz model was applied for valuing German interest rate warrants. The model allows for a consistent valuation of interest rate derivatives and has the property that it uses all information on the current term structure. Additional to these theoretical qualities the empirical results show that the prediction quality of the model is considerable. However, the model should not only be evaluated by its empirical quality but also by ist ease of use and by its practicality. The parameter estimation is quite costly because the state variable "volatility" is not directly observable and because six parameters have to be estimated from one time series. Further, there is no guarantee that the model can always be fitted to market data. However, the problem did not surface in this study. |
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