Alternative Term structures 23.6 in vasicek cir (Figure 23. 2, page 540 Zero rate Zero rate Maturity Maturity Zero rate Maturity Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull Alternative Term Structures 23.6 in Vasicek & CIR (Figure 23.2, page 540) Zero Rate Maturity Zero Rate Maturity Zero Rate Maturity
23.7 Equilibrium vs No-Arbitrage Models In an equilibrium model today's term structure is an output In a no-arbitrage model today' s term structure is an input Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 23.7 Equilibrium vs No-Arbitrage Models • In an equilibrium model today’s term structure is an output • In a no-arbitrage model today’s term structure is an input
23.8 Developing No-arbitrage Model for r a model for r can be made to fit the initial term structure by including a function of time in the drift Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 23.8 Developing No-Arbitrage Model for r A model for r can be made to fit the initial term structure by including a function of time in the drift