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Zustandspreise und die Modellierung des Zinsänderungsrisikos

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Author Info

  • Sandmann, K.
  • E. Schl�gl

Abstract

Ein Bewertungsma� das auf den sog. Zustandspreisen basiert, erlaubt in Binomialmodellen der Zinsstruktur die Konstruktion eines einheitlichen Modellrahmens und eines effizienten Algorithmus zur Implementation. Dieser Rahmen ist geeignet, die sich aus der Bedingung der Arbitragefreiheit ergebenden Beziehungen zu verdeutlichen: Einerseits treibt die Stochastik des modellierten Zinses die Ver�nderung der gesamten Zinsstrukturkurve, andererseits mu� diese Dynamik in arbitragefreiem Einklang mit der initial beobachteten Kurve stehen. Exemplarisch werden die Modelle von Ho und Lee (1986) und Sandman und Sondermann (1990) behandelt und ihre Eigenschaften anhand einer Simulationsstudie graphisch verdeutlicht: Es zeigt sich, da� die Wahl der �bergangswahrscheinlichkeiten eine geringe Rolle spielt, da� sowohl Zins- als auch Volatilit�tsstruktur die Verteilung der modellierten Rate nicht global beeinflussen, sondern lediglich zu jedem Zeitpunkt initialer Terminzins und Volatilit�t entsprechender F�lligkeit zum tragen kommen, und da� beide Modelle die Terminzinskurve endogen auf nur sehr eingeschr�nkte Weise verformen.

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Bibliographic Info

Paper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 238.

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Length: pages
Date of creation: Feb 1993
Date of revision:
Handle: RePEc:bon:bonsfb:238

Contact details of provider:
Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
Fax: +49 228 73 6884
Web page: http://www.bgse.uni-bonn.de

Related research

Keywords: Arbitrage; Optionsbewertung; Vorwärtsinduktion; Zinsstukturmodelle; Zustandspreise;

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Cited by:
  1. Sommer, Daniel, 1994. "Continuous-Time Limits in the Generalized Ho-Lee Framework under the Forward Measure," Discussion Paper Serie B 276, University of Bonn, Germany, revised Jul 1996.

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