Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing
收藏NBER1996-06-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w5638
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资源简介：
Mathematical models of bond pricing are used by both academics and Wall Street practitioners, with practitioners introducing time-dependent parameters to fit arbitrage-free models to selected asset prices. We show, in a simple one-factor setting, that the ability of such models to reproduce a subset
提供机构：
美国国家经济研究局
创建时间：
1996-06-01
