F. Navas, Javier2024-09-202024-09-201999-12-31The Journal of Fixed Income Winter 1999, 9 ( 3), 42 - 6010.3905/jfi.1999.319219https://hdl.handle.net/10433/21727In 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.enAttribution-NonCommercial-NoDerivatives 4.0 Internationalhttp://creativecommons.org/licenses/by-nc-nd/4.0/Term structureCapsSwaptionsCalibrationjournal articleopen access