| Title |
Obligacijų rinkos modeliavimas trinominio medžio pagalba / |
| Translation of Title |
Bond market modelling using a trinomial tree. |
| Authors |
Artamonova, Jelena ; Leipus, Remigijus |
| DOI |
10.15388/LMR.2004.32096 |
| Full Text |
|
| Is Part of |
Lietuvos matematikos rinkinys. 2004, T. 44, spec, Nr, p. 597-602.. ISSN 0132-2818 |
| Keywords [eng] |
Bond market, arbitrage-free ; Model, Ho-Lee |
| Abstract [eng] |
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. |
| Type |
Journal article |
| Language |
Lithuanian |
| Publication date |
2004 |
| CC license |
|
