The Relationship Between Risk and Maturity In A Stochastic Setting

Paul H. Zipkin

Mathematical Finance, 1992, vol. 2, issue 1, 33-46

Abstract: 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.

Date: 1992
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9965.1992.tb00024.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:mathfi:v:2:y:1992:i:1:p:33-46

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0960-1627

Access Statistics for this article

Mathematical Finance is currently edited by Jerome Detemple

More articles in Mathematical Finance from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().