Jensen, Bjarne Astrup; Nielsen, Jørgen Aase - In: Scandinavian Journal of Management 9 (1993) Supplement 1, pp. 101-101
The purpose of this paper is to shed light on some qualitative properties of binomial lattice models by analysing the entire distribution of future values arising from simple bond investment strategies. Our analysis is carried out by first determining the arbitrage free developments of the...