An Empirical Comparison of Forward‐Rate and Spot‐Rate Models for Valuing Interest‐Rate Options
用德国市场1990-1993年的利率权证数据，比较了七个即期和远期利率模型，发现一个单因子远期模型和两个双因子即期模型表现最优。
Our main goal is to investigate the question of which interest‐rate options valuation models are better suited to support the management of interest‐rate risk. We use the German market to test seven spot‐rate and forward‐rate models with one and two factors for interest‐rate warrants for the period from 1990 to 1993. We identify a one‐factor forward‐rate model and two spot‐rate models with two factors that are not significantly outperformed by any of the other four models. Further rankings are possible if additional criteria are applied.