Long-term returns in stochastic interest rate models (Q1904997)
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scientific article; zbMATH DE number 834212
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Long-term returns in stochastic interest rate models |
scientific article; zbMATH DE number 834212 |
Statements
Long-term returns in stochastic interest rate models (English)
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15 January 1996
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convergence of the long-term return
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short interest rate
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convergence almost everywhere
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generalized Bessel-square process with drift
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stochastic reversion level
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0.98467827
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0.95076126
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0.9439522
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0.9371914
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0.9019804
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0.8956035
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