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- W2160964867 abstract "The direct approach to interest-rate derivatives, in which the fundamental quantity is a discount-bond price rather than an interest rate, is examined from a discrete-time viewpoint. A recombining binomial tree is constructed which reduces to the Buehler-Kaesler model in the continuous-time limit. Hopping probabilities and lattice spacings depend on the discount-bond value. The expiration value of the bond, at which the standard deviation and drift velocity vanish, is a limit point for tree sites; the limit point arises because, in the continuum model, the integral of the standard deviation's reciprocal diverges near the expiration price. Representative numerical results indicate that the binomial treatment yields a good approximation to the continuum results and that the approximation improves with the number of time steps. Applicability of the approach to other continuum models, e.g. Vasicek, is discussed." @default.
- W2160964867 created "2016-06-24" @default.
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- W2160964867 date "1997-10-01" @default.
- W2160964867 modified "2023-09-25" @default.
- W2160964867 title "Discount-Bond Derivatives on a Recombining Binomial Tree" @default.
- W2160964867 hasPublicationYear "1997" @default.
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