Asymptotics of bond yields and volatilities for extended Vasicek models under the real-world measure
K. Fergusson
| Year of publication: |
March 2017
|
|---|---|
| Authors: | Fergusson, K. |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 12.2017, 1, p. 1-33
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| Subject: | Actuarial pricing | stochastic short rate | Gaussian short rate | Vasicek model | Hull-White model | Volatilität | Volatility | Zinsstruktur | Yield curve | Anleihe | Bond | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Zins | Interest rate | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Mean Reversion | Mean reversion | ARCH-Modell | ARCH model |