Term Structure of Interest Rates and Implied Market Frictions: The Min--Max Approach
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DOI: 10.1287/mnsc.49.7.965.16379
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References listed on IDEAS
- Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
- Prisman, Eliezer Z, 1986. "Valuation of Risky Assets in Arbitrage Free Economies with Frictions," Journal of Finance, American Finance Association, vol. 41(3), pages 545-557, July.
- Ross, Stephen A, 1987. "Arbitrage and Martingales with Taxation," Journal of Political Economy, University of Chicago Press, vol. 95(2), pages 371-393, April.
- Prisman, Eliezer Z., 1990. "A Unified Approach to Term Structure Estimation: A Methodology for Estimating the Term Structure in a Market with Frictions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(1), pages 127-142, March.
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- repec:bla:jfinan:v:53:y:1998:i:2:p:499-547 is not listed on IDEAS
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- Gzyl, Henryk & Mayoral, Silvia, 2016. "Determination of zero-coupon and spot rates from treasury data by maximum entropy methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 38-50.
- Lazar Fred & Prisman Eliezer Z., 2012. "Constructing Historical Yield Curves from Very Sparse Spot Rates: A Methodology and Examples from the 1920s Canadian Market," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 7(1), pages 1-24, May.
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Keywords
Arbitrage; Term Structure; Interest Rates; Implied Market Functions; Min--Max;All these keywords.
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