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.
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页码：57 / 60
页数：4
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