Simulation of bond prices
In this paper we introduce the estimation technique for the parameters of the bond pricing model. The proposed methods are illustrated by the Lithuanian Government securities. The results show that a squared binomial (two-factor) bond market model approximates the bond prices more precisely than an...
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2005-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Subjects: | |
| Online Access: | https://www.journals.vu.lt/LMR/article/view/27394 |
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| _version_ | 1832593222994493440 |
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| author | Jelena Artamonova |
| author_facet | Jelena Artamonova |
| author_sort | Jelena Artamonova |
| collection | DOAJ |
| description |
In this paper we introduce the estimation technique for the parameters of the bond pricing model. The proposed methods are illustrated by the Lithuanian Government securities. The results show that a squared binomial (two-factor) bond market model approximates the bond prices more precisely than analogous quadronomial (one-factor) model.
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| format | Article |
| id | doaj-art-ce3fb22316954cf3992fc932d615e6d5 |
| institution | Kabale University |
| issn | 0132-2818 2335-898X |
| language | English |
| publishDate | 2005-12-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Lietuvos Matematikos Rinkinys |
| spelling | doaj-art-ce3fb22316954cf3992fc932d615e6d52025-01-20T18:15:48ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2005-12-0145spec.10.15388/LMR.2005.27394Simulation of bond pricesJelena Artamonova0Vilniaus University In this paper we introduce the estimation technique for the parameters of the bond pricing model. The proposed methods are illustrated by the Lithuanian Government securities. The results show that a squared binomial (two-factor) bond market model approximates the bond prices more precisely than analogous quadronomial (one-factor) model. https://www.journals.vu.lt/LMR/article/view/27394bond marketsquared binomial modelquadronomial model |
| spellingShingle | Jelena Artamonova Simulation of bond prices Lietuvos Matematikos Rinkinys bond market squared binomial model quadronomial model |
| title | Simulation of bond prices |
| title_full | Simulation of bond prices |
| title_fullStr | Simulation of bond prices |
| title_full_unstemmed | Simulation of bond prices |
| title_short | Simulation of bond prices |
| title_sort | simulation of bond prices |
| topic | bond market squared binomial model quadronomial model |
| url | https://www.journals.vu.lt/LMR/article/view/27394 |
| work_keys_str_mv | AT jelenaartamonova simulationofbondprices |