PL EN


2008 | 18 | 183-191
Article title

AGGREGATION ANALYSIS IN PEDERSEN- SHIU- THORLACIUS MODEL

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EN
Abstracts
EN
The Klaassen aggregation enable us to reduce a binomial lattice of prices into two-point one-period model with larger period and it is consistent with the risk-neutral pricing principle. In general the aggregation is a computing backward procedure. Nevertheless in case of the Pedersen-Shiu-Thorlacius term structure model (which is the generalization of the Ho-Lee model) the analytical aggregation is possible. In the paper the bond prices and the pseudoprobabilities are obtained in the analytical forms. In the aggregated model the bond prices are proved to be restricted to an interval. Also the aggregated perturbation functions are deduced and they are compared to the perturbation functions in the one-period model. .
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Year
Volume
18
Pages
183-191
Physical description
Document type
ARTICLE
Contributors
  • Joanna Utkin, Szkola Gl√≥wna Handlowa w Warszawie, al. Niepodleglosci 164, 02-554 Warszawa, Poland
References
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Publication order reference
Identifiers
CEJSH db identifier
09PLAAAA061628
YADDA identifier
bwmeta1.element.75647d93-1eb9-3b64-80bb-edf95d57ba9a
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