In this paper, we focus on different convergence results of the long-term return (1/t) R r S du, where the short interest rate r follows an extension of the Cox-Ingersoll-Ross (1985) model. Using the theory of Bessel processes, we proved the convergence almost everywhere of (1/t) R X S du, where (X
Long-term returns in stochastic interest rate models
β Scribed by G. Deelstra; F. Delbaen
- Book ID
- 103587218
- Publisher
- Elsevier Science
- Year
- 1995
- Tongue
- English
- Weight
- 416 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0167-6687
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π SIMILAR VOLUMES
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