Abstract
This chapter presents a discrete-time version of the model presented in Chapter 1 and, as such, makes contributions beyond that contained in Chapter 1. As a discrete time approximation to the continuous-time model, it provides a computational tool useful for numerical investigation of our continuous-time three-factor model of interest rates. In particular, it is an essential tool for computing values for derivatives with early exercise provisions like callable Treasury bonds and American options on Treasury futures.
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© 1996 Springer-Verlag Berlin Heidelberg
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Chen, L. (1996). A Discrete-Time Version of the Model. In: Interest Rate Dynamics, Derivatives Pricing, and Risk Management. Lecture Notes in Economics and Mathematical Systems, vol 435. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-46825-4_5
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DOI: https://doi.org/10.1007/978-3-642-46825-4_5
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-60814-1
Online ISBN: 978-3-642-46825-4
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