Essays about: "BGM-model"

Found 1 essay containing the word BGM-model.

  1. 1. An Assessment of the BGM-model Swap Option Pricing Performance in the Swedish Interest Rate Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Mikko Andersson; Fredrik Lööw; [2006]
    Keywords : Interest Rate Options; BGM-model; STIBOR;

    Abstract : In this thesis the ability of a full-factor and a two-factor BGM-model to determine current and predict future plain-vanilla swaption prices issued on the Stockholm Interbank Offered Rate (STIBOR) is assessed. The study is conducted on daily data from January 4 to December 30, 2005. READ MORE