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University of Illinois at Urbana-Champaign
Nonparametric and Parametric Analyses on the Forward Rate Volatilities and Their Implications on Interest Rate Options Pricing
Abstract
dc:descriptionBased on the results obtained in the nonparametric analysis, this paper proposes an HJM volatility model and estimates it in the GARCH-family models. The proposed volatility model is compared with four alternative HJM models and shown to perform well both in capturing the volatility movement and in American options pricing.
Degree
thesis:*- Name thesis:degree_name
- Ph.D.
- Level thesis:degree_level
- Dissertation
- Discipline thesis:degree_discipline
- Finance
- Grantor
- University of Illinois at Urbana-Champaign
- Year dc:date
- 2015
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Zhou, Anjun
- Contributors dc:contributor
-
- Pearson, Neil D.
Subjects
dc:subject × 1Rights
- Language dc:language
- eng
Identifiers
dc:identifier.*- Identifier
- (MiAaPQ)AAI9953188
- OAI identifier oai:identifier
- oai:www.ideals.illinois.edu:2142/87449