Implied Savings Accounts are Unique

An implied savings account for a given term structure model is a strictly positive predictable process. This extends a result given by Musiela and Rutkowski (1997a) who considered the case of aBrownian filtration, and fills a gap in their arguments

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Year of publication:	[2001]
Authors:	Doberlein, Frank
Other Persons:	Schweizer, Martin (contributor) ; Stricker, Christopher (contributor)
Publisher:	[2001]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: Finance and Stochastics, Vol. 4, No. 4 Volltext nicht verfügbar
Classification:	G10 - General Financial Markets. General
Source:	ECONIS - Online Catalogue of the ZBW

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