Generalization of the Dybvig-Ingersoll-Ross theorem and asymptotic minimality (Q4906545)
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scientific article; zbMATH DE number 6139597
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| English | Generalization of the Dybvig-Ingersoll-Ross theorem and asymptotic minimality |
scientific article; zbMATH DE number 6139597 |
Statements
GENERALIZATION OF THE DYBVIG–INGERSOLL–ROSS THEOREM AND ASYMPTOTIC MINIMALITY (English)
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28 February 2013
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Dybvig-Ingersoll-Ross theorem
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interest rate models
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long-time forward rate
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long-time zero-coupon rate
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asymptotic monotonicity
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asymptotic minimality
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0.8384478688240051
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0.820931077003479
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0.7908622622489929
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0.7875121831893921
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