{"product_id":"interest-rate-models-for-pricing-zero-coupon-bond-options-von-huseyin-senturk-und-mehmet-ali-karadag","title":"INTEREST RATE MODELS FOR PRICING ZERO COUPON BOND OPTIONS","description":"\u003cp\u003eThe aim of this study is to compare the performance  of the four interest rate models (Vasicek Model, Cox  Ingersoll Ross Model, Ho Lee Model and Black Derman  Toy Model) that are commonly used in pricing zero  coupon bond options. In this study, 1-5 years US  Treasury Bond daily data between the dates June 1,  1976 and December 31, 2009 are used. By using the  four interest rate models, estimated option prices  are compared with the real observed prices for the  begining work days of each months of the years 2007  and 2008. The models are then evaluated according to  the sum of squared errors. Option prices are found  by constructing interest rate trees for the binomial  models based on Ho Lee Model and Black Derman Toy  Model and by estimating the parameters for the  Vasicek and the Cox Ingersoll Ross Models.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783838353579\"\u003e\u003ch3\u003eAN EMPIRICAL COMPARISON\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783838353579","offer_id":39469236322397,"sku":"9783838353579","price":49.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/da07cb41-40f2-47b5-aa77-918acc6d9274.jpg?v=1757741348","url":"https:\/\/shop.autorenwelt.de\/en\/products\/interest-rate-models-for-pricing-zero-coupon-bond-options-von-huseyin-senturk-und-mehmet-ali-karadag","provider":"Autorenwelt Shop","version":"1.0","type":"link"}