Observational Equivalence of Discrete String Models and Market Models
نویسندگان
چکیده
منابع مشابه
Observational Equivalence of Discrete String Models and Market Models
In this paper we show that, contrary to the claim made in Longstaff, Santa-Clara, and Schwartz (2001a) and Longstaff, Santa-Clara, and Schwartz (2001b), discrete string models are not more parsimonious than market models. In fact, they are found to be observationally equivalent. We derive that, for the estimation of both a K-factor discrete string model and a K-factor Libor market model for N f...
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ژورنال
عنوان ژورنال: The Journal of Derivatives
سال: 2002
ISSN: 1074-1240,2168-8524
DOI: 10.3905/jod.2002.319190