Valoración de activos derivados de renta fija bajo un modelo con dos factores correlacionados
- F. Navas, Javier
- Moreno Fuentes, Manuel
ISSN: 0210-2633
Year of publication: 2005
Issue Title: Instrumentos derivados
Issue: 69
Pages: 67-98
Type: Article
More publications in: Cuadernos económicos de ICE
Abstract
This paper presents an interest rate model in which prices of fixed income assets depend on time to maturity and two factors whose sum is equal to the instantaneous interest rate. Assuming correlation between both factors and applying no-arbitrage conditions, we find a closed-form expression for bond prices. Implications for the term structure of interest rates are analyzed. We also derive a closed-form solution for interest rate derivatives prices. This expression is applied to price European options on discount bonds and can be applied to more complex derivatives.