| Description |
1 online resource (22 pages). |
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text txt rdacontent |
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computer c rdamedia |
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online resource cr rdacarrier |
| Series |
[Economic and policy analysis working paper ; 2000-6] |
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Economic and policy analysis working paper (2000) ; 2000-6.
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| System Details |
Mode of access: Internet via the OCC Web site. Address as of 01/30/04: http://www.occ.treas.gov/ftp/workpaper/wp2000-6.pdf; current access is available via PURL. |
| Note |
Title from title screen (viewed on Jan. 30, 2004). |
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"April 2000." |
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Date of issue and series statement from pre-page. |
| Form |
Also available in paper. |
| Bibliography |
Includes bibliographical references. |
| Summary |
"We show how to implement arbitrage-free models of the short-term interest rate in discrete-time setting that allows continuum of rates at any particular date. Discrete time allows approximate pricing of interest rate contingent claims that cannot be valued in continuous-timemodels. It is usually associated with discrete states, with possible interest rates restricted to a limited number of outcomes, as in the lattice model of Hull and White (1994). We develop a method for approximating the prices of contingent claims without that restriction. We usenumerical integration to evaluate the risk-neutral expectations that define those prices, and function approximation to efficiently summarize the information. The procedure is simpleand flexible. We illustrate its properties in the extended Vasicek model of Hull and Whiteand show it to be an effective alternative to lattice methods"--Office of the Comptroller of the Currency web site. |
| Subject |
Interest rates -- Econometric models.
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Interest rates -- Econometric models.
(OCoLC)fst00976180
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| Added Author |
United States. Office of the Comptroller of the Currency.
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| Other Form: |
Sullivan, Michael A. Discrete-time continuous-state interest rate models 15, [6] p. (OCoLC)44099957 |
| Standard No. |
AU@ 000026537580 |
| Gpo Item No. |
0947-A-01 (online) |
| Sudoc No. |
T 12.22:2000-6 |
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