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  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
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    • Forum: FRM® Practice Questions
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