文章基本信息

标题：Closed-form solution for generalized Vasicek dynamic term structure model with time-varying parameters and exponential yield curves
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作者：Zheng, Yao
期刊名称：Mathematical Finance Letters
电子版ISSN：2051-2929
出版年度：2014
卷号：2014
语种：English
出版社：Science & Knowledge Publishing Corporation Limited
摘要：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.