COMPUTATION OF JAPANESE BONDS AND DERIVATIVE SECURITIES

Authors
BENNOWMAN K SORWAR G
Citation
K. Bennowman et G. Sorwar, COMPUTATION OF JAPANESE BONDS AND DERIVATIVE SECURITIES, Mathematics and computers in simulation, 47(6), 1998, pp. 583-588
Citations number
9
Categorie Soggetti
Mathematics,"Computer Science Interdisciplinary Applications","Computer Science Software Graphycs Programming",Mathematics,"Computer Science Interdisciplinary Applications","Computer Science Software Graphycs Programming
Journal title
Mathematics and computers in simulation → ACNP
ISSN journal
03784754
Volume
47
Issue
6
Year of publication
1998
Pages
583 - 588
Database
ISI
SICI code
0378-4754(1998)47:6<583:COJBAD>2.0.ZU;2-H
Abstract
In this paper, we use the Box numerical method to compute implied bond and option prices starting from the general CKLS interest rate model based on Japanese interbank data. In particular, we compute numericall y implied prices from the CKLS, Vasicek, Cox-Ingersoll-Ross and Brenna n-Schwartz models. We also compare the prices with those obtained from the exact analytical formulae of the Cox-Ingersoll-Ross model. We fin d that the implied bond and option prices vary across models for Japan . (C) 1998 IMACS/Elsevier Science B.V.