Quadratic Term Structure Models in Discrete Time

Preprint OPEN
Marco Realdon;
(2006)
  • Subject: Quadratic term structure model, discrete time, bond valuation, recursive solution, bond option
    • jel: jel:G12 | jel:G13

This paper extends the results on quadratic term structure models in continuos time to the discrete time setting. The continuos time setting can be seen as a special case of the discrete time one. Recursive closed form solutions for zero coupon bonds are provided even i... View more
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