Term structure modeling and asymptotic long rate
type: Item
instance of: scholarly article
title: Term structure modeling and asymptotic long rate
zbMATH Open document ID: 0943.91040
DOI: 10.1016/S0167-6687(99)00025-6
author: Yong Yao
published in: Insurance Mathematics \& Economics
publication date: 2000-05-08T00:00:00Z
review text: This paper examines the dynamics of the asymptotic long rate in three classes of term structure models. It shows that, in a frictionless and arbitrage-free market, the asymptotic long rate is a non-decreasing process. This gives an alternative proof of the same result of \textit{P. H. Dybvig, J. E. Ingersol jun.} and \textit{S. A. Ross} [J. Business 69, 1-25 (1996)]. It proves that the asymptotic long rate in factor models with state variables having non-singular diffusion volatility matrices is a deterministic function of time \(t\). This paper also discusses a class of models in which bond prices have closed-form formulas and the asymptotic long rate is a constant.
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1441564
zbMATH Keywords: asymptotic long rate
zbMATH Keywords: term structure of interest rates
zbMATH Keywords: state price density
MaRDI profile type: Publication
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Wikidata QID: Q127646893
full work available at URL: s0167-6687(99)00025-6
OpenAlex ID: W2083533647
description: scientific article; zbMATH DE number 1441564