SINGLE FACTOR DURATION MODELS IN A DISCRETE GENERAL EQUILIBRIUM FRAMEWORK

被引:21
作者
BIERWAG, GO
KAUFMAN, GG
TOEVS, AL
机构
[1] UNIV ARIZONA, TUCSON, AZ 85721 USA
[2] LOYOLA UNIV, CHICAGO, IL 60611 USA
[3] UNIV OREGON, EUGENE, OR 97403 USA
关键词
D O I
10.2307/2327332
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:325 / 338
页数:14
相关论文
共 26 条
[1]   IMMUNIZATION, DURATION, AND TERM STRUCTURE OF INTEREST-RATES [J].
BIERWAG, GO .
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1977, 12 (05) :725-742
[2]  
BIERWAG GO, 1980, UNPUB DURATION ANAL
[3]  
BIERWAG GO, UNPUB J BANK RES
[4]  
BIERWAG GO, 1979, J FINANCE MAY, P389
[5]  
BIERWAG GO, 1977, J BUSINESS JUL, P364
[6]  
BIERWAG GO, 1978, J FINANCIAL QUAN SEP, P519
[7]  
BRENNAN MJ, UNPUB INNOVATIONS BO
[8]   ASSET VALUES, INTEREST-RATE CHANGES, AND DURATION [J].
COOPER, IA .
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1977, 12 (05) :701-723
[9]   DURATION AND THE MEASUREMENT OF BASIS RISK [J].
COX, JC ;
INGERSOLL, JE ;
ROSS, SA .
JOURNAL OF BUSINESS, 1979, 52 (01) :51-61
[10]   OPTION PRICING - SIMPLIFIED APPROACH [J].
COX, JC ;
ROSS, SA ;
RUBINSTEIN, M .
JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) :229-263