Abstracting and IndexingРИНЦReferativny Zhurnal VINITI RAS Worldcat Google Scholar Online availableEastvieweLIBRARY.RU Biblioclub |
Assessing a no-arbitrage interest rate and its applying to Black-Cox model
Available online: 18 May 2010 Subject Heading: ECONOMIC AND MATHEMATICAL SIMULATION JEL Classification:
A new methodology of no-arbitrage interest rate assessing was suggested. It was constructed as the ratio of different financial instruments’ risk aversions with one base asset. The adequacy of this methodology was proved. The stochastic values of that ones computed by using intraday five-minute data of LukOil, VTB, GMK and Sberbank share and future quotations from March till June, 2009, were found. Finally, the parameters of modified Black-Cox model applied to paying out the GAZPROM’s credit were computed. Keywords: risk aversion, stochastic no-arbitrage interest rate, Black-Cox credit risk model |
ISSN 2311-8725 (Online)
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