The Relationship Between Risk and Maturity In A Stochastic Setting
Journal Article (Journal Article)
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. Copyright © 1992, Wiley Blackwell. All rights reserved
Full Text
Duke Authors
Cited Authors
- Zipkin, PH
Published Date
- January 1, 1992
Published In
Volume / Issue
- 2 / 1
Start / End Page
- 33 - 46
Electronic International Standard Serial Number (EISSN)
- 1467-9965
International Standard Serial Number (ISSN)
- 0960-1627
Digital Object Identifier (DOI)
- 10.1111/j.1467-9965.1992.tb00024.x
Citation Source
- Scopus