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- W3080456787 abstract "This paper examines four distinctive features of a skewness-adjusted binomial interest rate model. Specifically: 1) implied spot yield curves generated from a skewness-adjusted binomial interest rate tree are consistent with interest rate expectations theory; 2) implied forward rates and implied yields on futures contracts are equal when the skewness-adjusted binomial interest rate tree is calibrated to an end-of-the period distribution reflecting an increasing, decreasing, or stable interest rate trend; 3) the asymptotic properties of the skewness-adjusted binomial interest rate model elevate the importance of the mean in determining the up and down parameters for the case of a large number of sub-periods; 4) the skewness-adjusted Black-Derman-Toy model retains its arbitrage-free features, but loses them when the variability conditions are not adjusted to account for skewness." @default.
- W3080456787 created "2020-09-01" @default.
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- W3080456787 date "2020-01-01" @default.
- W3080456787 modified "2023-09-26" @default.
- W3080456787 title "Features of skewness-adjusted binomial interest rate models" @default.
- W3080456787 doi "https://doi.org/10.1504/ijbd.2020.10031540" @default.
- W3080456787 hasPublicationYear "2020" @default.
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