084041 (E51,E10) The term structure of interest rates: Alternative approaches and their implications for the valuation of contingent claims : Subrahmanyam M.G., The Geneva papers on risk and insurance theory 21 7–28 (1996)

• Publisher: Elsevier Science
• Year: 1997
• Tongue: English
• Weight: 176 KB
• Volume: 19
• Category: Article
• ISSN: 0167-6687
• DOI: 10.1016/s0167-6687(97)83534-2

✦ Synopsis

4 bstracts and Reviews 267 concept of linear stochastic dominance is sufficient to generate the desired result. These results are linked to existing sufficient conditions in the one safe-one risky asset model, as the condition of strong increase in risk or the monotone likelihood ratio order. They are also compared to those in models where restrictions are on the set of concave utility functions.