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\\(P\\) is probability measure on \\((\\Omega,F)\\); \\(\\{A_{n}\\), \\(n=0,\\ldots,N^{*}\\}\\) is an \\({\\mathbf F}\\)-predictable sequence of positive random prices of non-risky security; \\(P(n,N), n=1,\\ldots,N\\) is a positive prices of zero-coupon bonds are traded at the moments \\(n=1,\\ldots,N^{*}\\); \\(P(N,N)=1, \\forall N=0,\\ldots, N^{*}\\). Let us denote \\(\\overline\\varepsilon=(\\overline\\varepsilon^1,\\overline\\varepsilon^2)= ((\\varepsilon^1+1)/2,(\\varepsilon^2+1)/2)\\), \\(\\varepsilon=(\\varepsilon^1,\\varepsilon^2)\\in\\{-1;+1\\}^2\\), and let \\(A_0>0, A_1,\\ldots, A_{N^{*}}\\) be the price of non-risky security given by the equality NEWLINE\\[NEWLINEA_{n}=A_{n}(\\varepsilon_1,\\ldots,\\varepsilon_{n-1})=X_1 X_2(\\overline\\varepsilon_1)\\cdots X_{n}(\\overline\\varepsilon_1+\\ldots+\\overline\\varepsilon_{n-1}),\\quad n\\geq 1,NEWLINE\\]NEWLINE NEWLINE\\[NEWLINEX_{n}:\\{0,\\ldots,n-1\\}^2\\to \\mathbb{R}_{+},\\quad n\\geq 2,\\;X_1>0,\\;\\varepsilon_{i}=(\\varepsilon_{i}^1,\\varepsilon_{i}^2).NEWLINE\\]NEWLINE The bond price \\(P(n,N)\\) is given by equality NEWLINE\\[NEWLINEP_{\\varepsilon_1,\\ldots,\\varepsilon_{n}}(n,N)= P_{\\varepsilon_1,\\ldots,\\varepsilon_{n-1}}(n-1,N) X_{n}(\\overline\\varepsilon_1+\\ldots+\\overline\\varepsilon_{n-1})h(\\varepsilon_{n};n,N),NEWLINE\\]NEWLINE \\(n=1,\\ldots,N\\), \\(N=1,\\ldots,N^{*}\\), where \\(P(0,N)>0\\), \\(P(N,N)=1\\), \\(h(\\cdot ;n,N):\\{1,-1\\}^2\\to R_{+}\\) are random perturbation function such that \\(h(\\cdot ;N,N)=1\\). The author define the functions \\(X_{n}(\\cdot)\\) and \\(h(\\cdot ;\\cdot ,\\cdot)\\) in such way that the squared binomial bond market model is arbitrage-free and path independent. The author demonstrates how the case of Ho-Lee model can be obtained. Equalities for forward rate and spot interest rate are established.NEWLINENEWLINEFor the entire collection see [Zbl 0968.00043].","type":"string"},"datatype":"string"},"type":"statement","id":"Q2769691$6BFD9FC1-C1B1-4229-8A46-495BFCBBDFB5","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"de1d1c2e1c6bfdfb0344bb0181fe84e959c1c5f9","datavalue":{"value":{"entity-type":"item","numeric-id":589933,"id":"Q589933"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2769691$379EBF69-8712-47C7-BA0C-FEF889818726","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"2f6fd0d4e0d6c0f575a1d857af3b99d63430e476","datavalue":{"value":{"entity-type":"item","numeric-id":2487858,"id":"Q2487858"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"e6b06c1969fbd80a2e7465834790459a0802299e","datavalue":{"value":{"amount":"+0.8212489485740662","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2769691$A5331E23-7CEF-4E2D-82DC-C0676987D858","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c39f1c6d502a8ecce748c6cafee6978733b57548","datavalue":{"value":{"entity-type":"item","numeric-id":4791445,"id":"Q4791445"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"b46abf0283d7ceaebfac9c65cad502e6e90f54ff","datavalue":{"value":{"amount":"+0.7701504230499268","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2769691$96863D9C-0046-4F4D-8780-60906CB925AD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c5c407fa1e15286cfa3cb6ba5d1b80565d320c8e","datavalue":{"value":{"entity-type":"item","numeric-id":2643675,"id":"Q2643675"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"f9762e4432dee95e565f09a31c6750029df08d63","datavalue":{"value":{"amount":"+0.7472311854362488","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2769691$257AD11D-AD20-478A-BF14-FE1F1C330FBD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"b1fe07be59c10f59f86aedabc9c30acbee545148","datavalue":{"value":{"entity-type":"item","numeric-id":4522966,"id":"Q4522966"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"1557d1a83aafe0cf18ad10ba7899e184b8418b26","datavalue":{"value":{"amount":"+0.7387123703956604","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2769691$C7A2D34E-0FE7-4DA5-80A0-3AFE58BAB941","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"eb47bc6d8f23dbdf4373c14094e29b090611057b","datavalue":{"value":{"entity-type":"item","numeric-id":4676166,"id":"Q4676166"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"536ac8bc7eeb5df2a68e72de45748f7263cb9a48","datavalue":{"value":{"amount":"+0.7331832051277161","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2769691$9BC61D9A-1B4A-4615-A867-FC561DF1D73C","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"A squared binomial tree approach to discrete-time bond market modelling","badges":[]}}}}}