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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19634| Title: | Bond pricing when the short term interest rate follows a threshold process |
| Keywords: | C63 G12 E43 ddc:330 Threshold process term structure of interest rates nonlinear yield function Zinsstruktur Arbitrage Pricing Zins Wertpapieranalyse Theorie |
| Issue Date: | 16-Oct-2013 |
| Description: | Using a stochastic discount factor approach, we derive the exact solution for arbitrage-free bond yields for the case that the short-term interest rate follows a threshold process with the intercept switching endogenously. The yield functions, mapping the one-month rate into n-period yields, respectively. This is in contrast to linear short-rate process which imply an affine yield function. The intervals for which convexity or concavity prevails increase with time to maturity. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19634 |
| Other Identifiers: | http://hdl.handle.net/10419/19634 ppn:510392393 RePEc:zbw:bubdp1:4243 |
| Appears in Collections: | EconStor |
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