Nonparametric and Parametric Analyses on the Forward Rate Volatilities and Their Implications on Interest Rate Options Pricing
Zhou, Anjun
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https://hdl.handle.net/2142/87449
Description
Title
Nonparametric and Parametric Analyses on the Forward Rate Volatilities and Their Implications on Interest Rate Options Pricing
Author(s)
Zhou, Anjun
Issue Date
1999
Doctoral Committee Chair(s)
Pearson, Neil D.
Department of Study
Finance
Discipline
Finance
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Economics, Finance
Language
eng
Abstract
Based 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.
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