Bond pricing when the short term interest rate follows a threshold process

Autor:	Lemke, Wolfgang, Archontakis, Theofanis
Jazyk:	angličtina
Rok vydání:	2006
Předmět:	Zinsstruktur Zins C63 nonlinear yield function ddc:330 term structure of interest rates Arbitrage Pricing G12 Theorie E43 Threshold process Wertpapieranalyse
Popis:	Using a stochastic discount factor approach, we derive the exact solution for arbitrage-free bond yields for the case that the short-term interest rate follows a threshold process with the intercept switching endogenously. The yield functions, mapping the one-month rate into n-period yields, respectively. This is in contrast to linear short-rate process which imply an affine yield function. The intervals for which convexity or concavity prevails increase with time to maturity.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od______1687::4bc016ba8052d816865382c3b40ea1b8 https://hdl.handle.net/10419/19634 Zobrazit plný text záznamu