{"title":"Pricing Interest-Rate-Derivative Securities","authors":"J. Hull, Alan G. White","doi":"10.1093/RFS/3.4.573","DOIUrl":null,"url":null,"abstract":"This article shows that the one-state-variable interest-rate models of Vasicek (1977) and Cox, Ingersoll, and Ross (1985b) can be extended so that they are consistent with both the current term structure of interest rates and either the current volatilities of all spot interest rates or the current volatilities of all forward interest rates. The extended Vasicek model is shown to be very tractable analytically. The article compares option prices obtained using the extended Vasicek model with those obtained using a number of other models. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.","PeriodicalId":21124,"journal":{"name":"Review of Financial Studies","volume":"58 1","pages":"573-592"},"PeriodicalIF":5.4000,"publicationDate":"1990-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2197","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Financial Studies","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1093/RFS/3.4.573","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 2197
Abstract
This article shows that the one-state-variable interest-rate models of Vasicek (1977) and Cox, Ingersoll, and Ross (1985b) can be extended so that they are consistent with both the current term structure of interest rates and either the current volatilities of all spot interest rates or the current volatilities of all forward interest rates. The extended Vasicek model is shown to be very tractable analytically. The article compares option prices obtained using the extended Vasicek model with those obtained using a number of other models. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
本文表明，Vasicek(1977)和Cox, Ingersoll, and Ross (1985b)的单状态变量利率模型可以被扩展，使它们既与当前利率期限结构一致，也与所有即期利率的当前波动率或所有远期利率的当前波动率一致。扩展的Vasicek模型在分析上是很容易处理的。本文比较了采用扩展Vasicek模型得到的期权价格与其他一些模型得到的期权价格。这篇文章由牛津大学出版社代表金融研究学会发表在其期刊《金融研究评论》上。
期刊介绍：
The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.
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