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The Relationship Between Risk and Maturity In A Stochastic Setting (1992)

Zipkin, Paul H.

Oxford, UK : Blackwell Publishing Ltd

Mathematical finance 2 (1992), S. 0

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ISSN: 1467-9965

Source: Blackwell Publishing Journal Backfiles 1879-2005

Topics: Mathematics , Economics

Notes: This paper explores the interest rate sensitivity of the prices of bonds and other securities when the instantaneous interest rate follows a Markov process. We show that whenever the interest rate describes a diffusion process the sensitivity of zero-coupon bonds increases with maturity. More generally, we characterize the risk-maturity relationship for contingent claims. This investigation yields a new property of option prices in the case where the underlying security price is a diffusion.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00024.x

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