The Relationship Between Risk and Maturity In A Stochastic Setting

DOI10.1111/j.1467-9965.1992.tb00024.xzbMath0900.90103OpenAlexW1990880421MaRDI QIDQ4345922

Paul Zipkin

Publication date: 31 August 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1992.tb00024.x

zbMATH Keywords

Markov processesdiffusion processinterest rate optionszero-coupon bonds

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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