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

DOI10.1080/07362999308809302MaRDI QIDQ4036136zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

diffusiondiscrete time term structure modelweak convergence

Mathematics Subject Classification ID

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

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Cites work

• A theory of the term structure of interest rates
• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• The pricing of options and corporate liabilities

Cited in

(4)

• scientific article; zbMATH DE number 433054 (Why is no real title available?)
• Term structure of interest rates: Discontinuous case
• Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework
• Weak convergence of equity derivatives pricing with default risk

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