Bond market modelling using a trinomial tree
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.
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2004-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Subjects: | |
| Online Access: | https://www.journals.vu.lt/LMR/article/view/32096 |
| _version_ | 1826861999077720064 |
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| author | Jelena Artamonova Remigijus Leipus |
| author_facet | Jelena Artamonova Remigijus Leipus |
| author_sort | Jelena Artamonova |
| collection | DOAJ |
| description |
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.
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| first_indexed | 2024-03-07T15:40:51Z |
| format | Article |
| id | doaj.art-a0eb5b865c0c40b6a663288fe54b7bf4 |
| institution | Directory Open Access Journal |
| issn | 0132-2818 2335-898X |
| language | English |
| last_indexed | 2025-02-16T20:30:51Z |
| publishDate | 2004-12-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Lietuvos Matematikos Rinkinys |
| spelling | doaj.art-a0eb5b865c0c40b6a663288fe54b7bf42025-01-20T18:16:30ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2004-12-0144spec.10.15388/LMR.2004.32096Bond market modelling using a trinomial treeJelena Artamonova0Remigijus Leipus1Vilnius UniversityVilnius University 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. https://www.journals.vu.lt/LMR/article/view/32096arbitrage-free bond marketHo–Lee model |
| spellingShingle | Jelena Artamonova Remigijus Leipus Bond market modelling using a trinomial tree Lietuvos Matematikos Rinkinys arbitrage-free bond market Ho–Lee model |
| title | Bond market modelling using a trinomial tree |
| title_full | Bond market modelling using a trinomial tree |
| title_fullStr | Bond market modelling using a trinomial tree |
| title_full_unstemmed | Bond market modelling using a trinomial tree |
| title_short | Bond market modelling using a trinomial tree |
| title_sort | bond market modelling using a trinomial tree |
| topic | arbitrage-free bond market Ho–Lee model |
| url | https://www.journals.vu.lt/LMR/article/view/32096 |
| work_keys_str_mv | AT jelenaartamonova bondmarketmodellingusingatrinomialtree AT remigijusleipus bondmarketmodellingusingatrinomialtree |