Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing
指出，流行的无套利债券定价模型（如Black-Derman-Toy模型）在利率均值回归时，会高估长期债券看涨期权相对于短期债券的价格，从而产生套利机会。研究者应关注基本面因素如均值回归、多因子和随机波动。
Mathematical models of bond pricing are used by both academics and Wall Street practitioners, with practitioners introducing time-dependent parameters to fit “arbitrage-free” models to select asset prices. We show, in a simple one-factor setting, that the ability of such models to reproduce a subset of security prices need not extend to state-contingent claims more generally. The popular Black-Derman-Toy model, for example, overprices call options on long bonds relative to those on short bonds when interest rates exhibit mean reversion. We argue, more generally, that the additional parameters of arbitrage-free models should be complemented by close attention to fundamentals, which might include mean reversion, multiple factors, stochastic volatility, and/or non-normal interest rate distributions.