Discrete-time continuous-state interest rate models
نویسندگان
چکیده
منابع مشابه
Discrete-Time Continuous-State Interest Rate Models
We show how to implement arbitrage-free models of the short-term interest rate in a discretetime setting that allows a continuum of rates at any particular date. Discrete time allows approximate pricing of interest rate contingent claims that cannot be valued in continuous-time models. It is usually associated with discrete states, with possible interest rates restricted to a limited number of ...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 2001
ISSN: 0165-1889
DOI: 10.1016/s0165-1889(00)00065-8