论文信息 - A Term Structure Model and the Pricing of Interest Rate Derivative

A Term Structure Model and the Pricing of Interest Rate Derivative

The paper developes a general arbitrage free model for the term structure of interest rates. The principal model is formulated in a discrete time structure. It differs substantially from the Ho--Lee-- Model (1986) and does not generate negative spot and forward rates. The results for the continuous time limit support this. The probability distribution with finite support is derived for the spot rate return. The model permits the arbitrage free valuation of bond options and interest rate options and produces dynamic portfolio strategies to duplicate these contracts.

Klaus Sandmann | Dieter Sondermann | D. Sondermann | K. Sandmann

[1] D. Heath,et al. Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation , 1990, Journal of Financial and Quantitative Analysis.

[2] Philippe Artzner,et al. Term structure of interest rates: The martingale approach , 1989 .

[3] J. Ingersoll. Theory of Financial Decision Making , 1987 .

[4] David M. Kreps,et al. Martingales and arbitrage in multiperiod securities markets , 1979 .

[5] N. L. Johnson,et al. Systems of frequency curves generated by methods of translation. , 1949, Biometrika.

[6] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.

[7] Walter N. Torous,et al. Bond Price Dynamics and Options , 1983, Journal of Financial and Quantitative Analysis.

[8] Alan G. White,et al. Pricing Interest-Rate-Derivative Securities , 1990 .

[9] Sigrid Müller. On complete securities markets and the martingale property of securities prices , 1989 .

[10] F. Black,et al. A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options , 1990 .

[11] Klaus Sandmann,et al. The Pricing of Options With an Uncertain Interest Rate: A Discrete-Time Approach , 1993 .

[12] H. P. Willis,et al. The Security Markets. , 1936 .

[13] Robert A. Jarrow,et al. Contingent claim valuation with a random evolution of interest rates , 1989 .