LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS
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Publication:4565077
DOI10.1142/S0219024918500267zbMath1398.91623arXiv1608.06376MaRDI QIDQ4565077
David M. Meier, Dorje C. Brody, Lane P. Hughston
Publication date: 7 June 2018
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.06376
Vasicek model; Lévy models; long-term investment; pricing kernels; long bond; interest-rate models; Ross recovery; long rate of interest
60G51: Processes with independent increments; Lévy processes
91G30: Interest rates, asset pricing, etc. (stochastic models)
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