Weak convergence of term structure movements and the connection of prices and interest rates∗

DOI10.1080/07362999308809302zbMATH Open0765.90011OpenAlexW1993858647MaRDI QIDQ4036136FDOQ4036136

Dunmu Ji, G. Yin

Publication date: 16 May 1993

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999308809302

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zbMATH Keywords

weak convergencediffusiondiscrete time term structure model

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Cites Work

• The pricing of options and corporate liabilities
• A theory of the term structure of interest rates
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (4)

• Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework
• Term structure of interest rates: Discontinuous case
• Weak convergence of equity derivatives pricing with default risk
• Title not available (Why is that?)

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