𝔖 Bobbio Scriptorium
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Term structure modeling and asymptotic long rate

✍ Scribed by Yong Yao

Book ID
104300196
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
84 KB
Volume
25
Category
Article
ISSN
0167-6687

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✦ Synopsis

This paper examines the dynamics of the asymptotic long rate in three classes of term structure models. It shows that, in a frictionless and arbitrage-free market, the asymptotic long rate is a non-decreasing process. This gives an alternative proof of the same result of Dybvig et al. (

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