haku: @indexterm incomplete markets / yhteensä: 34
viite: 21 / 34
| Tekijä: | Sommer, D. |
| Otsikko: | Pricing and hedging of contingent claims in term structure models with exogenous issuing of new bounds |
| Lehti: | European Financial Management
1997 : NOV, VOL. 3:3, p. 269-292 |
| Asiasana: | TERM STRUCTURE OF INTEREST RATES BONDS INCOMPLETE MARKETS MARTINGALES OPTIONS PRICING |
| Kieli: | eng |
| Tiivistelmä: | When starting from the observation that in existing fixed income markets one typically faces term structures of interest rates that cover a fixed and constant range of times to maturity this paper has developed an arbitrage-based model of the term structure of interest rates that incorporates this observation in a meaningful way and is compatible with any observed yield curve at the starting point of the model. In particular the paper proposes to close existing HJM-type models of the term structure by adding a stochastic process that describes the prices at the date of issue of zero coupon bonds of the longest time to maturity. Including such a process in a term structure model creates an additional degree of freedom to reflect market information fromtime series of long-term interest rates in the model. |
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