Nonparallel Yield Curve Shifts and Convexityoption-pricing model. The second method is the direct estimation approach, and the formula used is analogous ... Although this mechanical approach provides a direct basis for generating numbers and relating the ...
Description: In this paper, the relationship of convexity to the assumption of parallel shifts is explored, and new convexity measures are developed to reflect nonparallel shifts. These new measures can differ dramatically from the traditional values, providing insight into when convexity does not have to be good and when it does.Hide
- Authors: Robert Reitano
- Date: Oct 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments