Implied savings accounts are unique
نویسندگان
چکیده
An implied savings account for a given term structure model is a strictly positive predictable increasing process A such that zero coupon bond prices are given by B(t, T ) = E [ At AT ∣∣Ft ] for some Q equivalent to the original probability measure. We prove that if (A′, Q′) is another pair with the same properties, then A and A′ are indistinguishable. This extends a result given by Musiela/ Rutkowski (1997a) who considered the case of a Brownian filtration, and fills a gap in their arguments.
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عنوان ژورنال:
- Finance and Stochastics
دوره 4 شماره
صفحات -
تاریخ انتشار 2000