Simulation of bond prices
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 an...
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2005-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
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| Online Access: | https://www.journals.vu.lt/LMR/article/view/27394 |