haku: @author Smyser, M. / yhteensä: 3
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| Tekijä: | Prakash, A. Smyser, M. Hamid, S. |
| Otsikko: | Log-normality and arbitrage free bounds on the distribution range of zero-coupon pure discount bond returns |
| Lehti: | Journal of Business Finance and Accounting
1995 : SEP, VOL. 22:6, p. 769-788 |
| Asiasana: | MODELS DISTRIBUTION BONDS |
| Kieli: | eng |
| Tiivistelmä: | Results from probability theory are brought to bear on the problem of modeling the intertemporal price behavior of zero-coupon pure discount bonds embodied in the return distribution of these securities. A new approach to modeling these returns is developed which incorporates bounds on the range of the return distribution. These bounds are theoretically appealing because they derive from the generally accepted postulate that arbitrage opportunities cannot exist in competitive markets. |
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