On the term structure of interest rates
1978; Elsevier BV; Volume: 6; Issue: 1 Linguagem: Inglês
10.1016/0304-405x(78)90020-x
ISSN1879-2774
Autores Tópico(s)advanced mathematical theories
ResumoThe paper presents a valuation formula for default free bonds for a certain class of tastes when the instantaneously riskfree rate of interest follows a geometric Wiener process. Properties of the resulting term structure of interest rates are studied, and an application of the analysis to the pricing of Treasury Bills is proposed.
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