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pro vyhledávání: '"Jelena Artamonova"'
Autor:
Jelena Artamonova
Publikováno v:
Lietuvos Matematikos Rinkinys, Vol 45, Iss spec. (2005)
In this paper we introduce the estimation technique for the parameters of the bond pricing model. The proposed methods are illustrated by the Lithuanian Government securities. The results show that a squared binomial (two-factor) bond market model ap
Externí odkaz:
https://doaj.org/article/ce3fb22316954cf3992fc932d615e6d5
Autor:
Jelena Artamonova, Remigijus Leipus
Publikováno v:
Lietuvos Matematikos Rinkinys, Vol 44, Iss spec. (2004)
In this paper a generalization of the discrete-time Ho–Lee model to the trinomial case is considered. The necessary and sufficient conditions for such a bond model to be arbitrage-free and path independent are established.
Externí odkaz:
https://doaj.org/article/a0eb5b865c0c40b6a663288fe54b7bf4