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By Ehud I. Ronn

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This nonstationary trinomial model thus constitutes important evidence on intertemporal changes in the riskless term structures of interest rates.

This nonstationary trinomial model thus constitutes important evidence on intertemporal changes in the riskless term structures of interest rates.

The empirical results display statistically significant power in explaining the time series cross-section prices of Treasury bond futures contracts and options on these futures contracts. Further, the model appears to have some power to detect arbitrage opportunities, but only for low-transaction-cost agents able to trade at market prices and borrowAend risklessly; alternatively, these results can be interpreted as yielding asset values closer to the arbitrage-free values of these instruments. The model's ability to price Treasury bond futures contracts and their options successfully indicates its more general property as a mechanism for generating hedge ratios for arbitrary interest-rate-contingent claims.

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