Valuing Fixed‐Income Options and Mortgage‐Backed Securities with Alternative Term Structure Models
假设多因子固定参数期限结构模型能准确反映实际利率期限结构，并以此为标准，比较单因子模型在定价利率衍生品时的偏差，为选择期限结构模型提供参考。
To value mortgage‐backed securities and options on fixed‐income securities, it is necessary to make assumptions regarding the term structure of interest rates. We assume that the multi‐factor fixed parameter term structure model accurately represents the actual term structure of interest rates, and that the values of mortgage‐backed securities and discount bond options derived from such a term structure model are correct. Differences in the prices of interest rate derivative securities based on single‐factor term structure models are therefore due to pricing bias resulting from the term structure model. The price biases that result from the use of single‐factor models are compared and attributed to differences in the underlying models and implications for the selection of alternative term structure models are considered.