Stable distributions and the term structure of interest rates

被引：0

作者：

Dostoglou, SA ^{[1
]}

Rachev, ST

机构：

[1] Univ Missouri, Dept Math, Columbia, MO 65211 USA

[2] Univ Calif Santa Barbara, Dept Stat & Appl Probabil, Santa Barbara, CA 93106 USA

来源：

MATHEMATICAL AND COMPUTER MODELLING | 1999年 / 29卷 / 10-12期

关键词：

stable distributions; term structure; martingale measures; stable parameters; semi-martingales;

D O I：

10.1016/S0895-7177(99)00092-8

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

In an abundance of cases asset returns fit stable distributions better than normal distributions. We examine a model where the term structure of interest rates follows a subordinate process directed by a stable process and indicate how to fix the parameters of the model. (C) 1999 Elsevier Science Ltd. All rights reserved.

引用

页码：57 / 60

页数：4

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