Browsing FGV EPGE - Seminários de Pesquisa Econômica by Title "An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options"
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An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options
1999-08-12Our main goal is to investigate the question of which interest-rate options valuation models are better suited to support the management of interest-rate risk. We use the German market to test seven spot-rate and forward-rate ...
