arbitrage-pricing

  1. David Harper CFA FRM

    P2.T5.23.2. Multi-period interest rate trees

    Learning objectives: Explain how the principles of arbitrage pricing of derivatives on fixed-income securities can be extended over multiple periods. Define option-adjusted spread (OAS) and apply it to security pricing. Describe the rationale behind the use of recombining trees in option...
    • David Harper CFA FRM
    • Thread
    • arbitrage-pricing black-scholes-merton derivatives fixed-income-securities multi-period-interest-rate-tree option-adjusted-spread recombining-trees time-steps treasury-swap
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. Shau_2207

    Science of Term Structure- Arbitrage pricing multiple periods

    Hello David, I have a question under Topic Term Structure Science under that LOS- Arbitrage pricing of derivatives over multiple periods. Page 23 i am unable to follow the attached eq, how do we calculate bond value of P(1,1) and P (1,0) for given risk neutral probabilities. In exam will we be...
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