A simple multi-factor, time-dependent-parameter model for the term structure of interest rates

Ren Raw Chen; T. L.Tyler Yang

doi:10.1023/A:1015743507959

A simple multi-factor, time-dependent-parameter model for the term structure of interest rates

Ren Raw Chen^*
, T. L.Tyler Yang

^*此作品的通信作者

Rutgers - The State University of New Jersey, New Brunswick
Freddie Mac

研究成果: 期刊稿件 › 文章 › 同行評審

4 引文斯高帕斯（Scopus）

摘要

In this paper, we present a simple version of the Duffie and Kan model (1996). Our model can perfectly fit the yield curve and the volatility curve and further provide true closed form solutions to the pure discount bond price and its European contingent claims. Due to the specific factor structure in our model, the calibration exercise is easy to implement. This advantage will improve the computational efficiency in pricing American style claims.

原文	英語
頁（從 - 到）	5-20
頁數	16
期刊	Review of Quantitative Finance and Accounting
卷	19
發行號	1
DOIs	https://doi.org/10.1023/A:1015743507959
出版狀態	已出版 - 2002
對外發佈	是

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KW - Volatility curve

KW - Yield curve

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A simple multi-factor, time-dependent-parameter model for the term structure of interest rates

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