Closed-form solution for generalized Vasicek dynamic term structure model with time-varying parameters and exponential yield curves
Abstract
In this paper I study a generalized Vasicek dynamic term structure model with time-varying parameters, where the short rate r is unbounded and the time to maturity for the exponential yield curve model is an exponential function of the short rate. Closed-form solutions are derived for two cases by function analysis technique, with the classical Vasicek equation used as a special case. The methods employed in this paper may have significance in the study of other aspects of finance.
- Published
- 2 April 2014
- Volume
- 2014 (2014)
- License
- CC BY 3.0
Copyright © 2014 Yao Zheng. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Cite this article
Y. Zheng, Closed-form solution for generalized Vasicek dynamic term structure model with time-varying parameters and exponential yield curves, Math. Finance Lett. 2014 (2014), 1.
BibTeX
@article{Zheng2014,
author = {Zheng, Yao},
title = {Closed-form solution for generalized Vasicek dynamic term structure model with time-varying parameters and exponential yield curves},
journal = {Math. Finance Lett.},
volume = {2014},
year = {2014},
pages = {1},
doi = {}
}