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- W2072004182 abstract "This paper is an empirical study of the Heath-Jarrow-Morton model using Generalized Method of Moments and Simulated Method of Moments on Danish bond and option prices. The paper implements a simulation approach to price contingent claims written on purely interest rate-dependent securities fulfilling the Heath-Jarrow-Morton model. This method implies simulation of solutions of stochastic differential equations since the theoretical pricing model is too complicated to give closed form pricing formulas." @default.
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- W2072004182 date "1993-01-01" @default.
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- W2072004182 title "An empirical study of the term structure of interest rates" @default.
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- W2072004182 doi "https://doi.org/10.1016/0956-5221(93)90004-c" @default.
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