search query: @author Sandmann, K. / total: 3
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| Author: | Sandmann, K. Schlögl, E. |
| Title: | Zustandspreise und Zinsänderungsrisikos |
| Journal: | Zeitschrift für Betriebswirtschaft
1996 : VOL. 66:7, p. 813-836 |
| Index terms: | TERM STRUCTURE OF INTEREST RATES MODELS PRICING |
| Language: | ger |
| Abstract: | The pricing measure based on state prices permits the construction of a unified framework for and an efficient implementation of binomial models of the term structure. Doing so also clarifies the relationships resulting from the condition of no arbitrage: On the one hand the stochastics of the interest rate modelled drive the evolution of the entire term structure, on the other hand these dynamics must be arbitrage free with respect to the initial market data. We choose the models by Ho and Lee (1986) and Sandmann and Sondermann (1990). It turns out that interest rate distribution does not depend substantially on the value of the transition probability. The endogenous dynamics of the term structure shape are very limited in both models. |
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