Bond market modelling using a trinomial tree
Articles
Jelena Artamonova
Vilnius University
Remigijus Leipus
Vilnius University
Published 2004-12-17
https://doi.org/10.15388/LMR.2004.32096
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Keywords

arbitrage-free bond market
Ho–Lee model

How to Cite

Artamonova, J. and Leipus, R. (2004) “Bond market modelling using a trinomial tree”, Lietuvos matematikos rinkinys, 44(spec.), pp. 597–602. doi:10.15388/LMR.2004.32096.

Abstract

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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