Refinements of the Binomial Model and Applications
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چکیده
A term structure of interest rates is introduced to model a more realistic econ omy in which deposit rates can vary with the duration of loans We will also study time inhomogeneity of the volatility process by introducing a term structure of volatilities Time dependent volatilities are useful to incorporate into the pricing model the market s expectations about risk across time Information about the tem poral behavior of volatility is contained in the prices of liquid option instruments with di erent maturities written on a given underlying asset
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تاریخ انتشار 2004