RT Journal Article
T1 Consistent versus Non-Consistent Term Structure Models: Some Evidence from the Spanish Market
A1 F. Navas, Javier
K1 Term structure
K1 Caps
K1 Swaptions
K1 Calibration
AB In this paper we price caps and swaptions in the Spanish market with the Vasicek (1977), Cox, Ingersoll, and Ross (1985), and Hull and White (1990) (HW) models. We show that derivative prices obtained with the Vasicek and CIR models estimated from time series data are very similar, but they di er substantially from the values given by the HW model  tted to the term structure of interest-rate swap yields (especially for ATM and OTM options). However, when the former models are estimated cross-sectionally, they produce option prices similar to those of the HW model. In samples of caps and swaptions, we  nd that the Vasicek model estimated cross-sectionally outperforms the HW model. Nonetheless, the Vasicek and CIR models estimated from time series produce very large pricing errors.
PB Portfolio Management Research
YR 1999
FD 1999-12-31
LK https://hdl.handle.net/10433/21727
UL https://hdl.handle.net/10433/21727
LA en
NO The Journal of Fixed Income  Winter 1999, 9 ( 3), 42 - 60
NO Departamento de Economía Financiera y Contabilidad
DS RIO
RD Apr 23, 2026