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In this paper we expand the Box Method of Sorwar et al. 2007 to value both default free bonds and interest rate contingent claims based on one factor non-linear interest rate models. Further we propose a one-factor non-linear interest rate model that incorporates features suggested by recent research. An example shows the extended Box Method works well in practice.

KEYWORDS

Stochastic, Interest Rates, Derivatives, Box Method

Cite this paper

G. Sorwar and S. Mozumder -Implied Bond and Derivative Prices Based on Non-Linear Stochastic Interest Rate Models,- Applied Mathematics, Vol. 1 No. 1, 2010, pp. 37-43. doi: 10.4236-am.2010.11006.





Autor: Ghulam Sorwar, Sharif Mozumder

Fuente: http://www.scirp.org/



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