| Title |
Obligacijų kainų modeliavimas |
| Translation of Title |
Simulation of bond prices. |
| Authors |
Artamonova, Jelena |
| DOI |
10.15388/LMR.2005.27394 |
| Full Text |
|
| Is Part of |
Lietuvos matematikos rinkinys.. Vilnius. 2005, t. 45, spec. nr, p. 393-399.. ISSN 0132-2818 |
| Keywords [eng] |
bond market ; squared binomial model ; quadronomial model |
| Abstract [eng] |
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 approximates the bond prices more precisely than analogous quadronomial (one-factor) model. |
| Published |
Vilnius |
| Type |
Journal article |
| Language |
Lithuanian |
| Publication date |
2005 |
| CC license |
|
