On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures (Q3144592)
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scientific article; zbMATH DE number 6114463
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| English | On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures |
scientific article; zbMATH DE number 6114463 |
Statements
8 December 2012
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two-factor term structure model
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generalized Fong-Vasicek interest rate model
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stochastic volatility
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stochastic differential equation
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averaging
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limiting density
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0.8682008981704712
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0.7670277953147888
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0.765249490737915
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0.7363771796226501
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