Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing
指出，即使使用无套利模型，如Black-Derman-Toy模型，在利率均值回归时仍可能对长期债券的看涨期权定价过高，产生套利机会，提醒模型使用需关注均值回归等基本面因素。
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 selected 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.