A GENERAL PROOF OF THE DYBVIG‐INGERSOLL‐ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL

Friedrich Hubalek, Irene Klein and Josef Teichmayn

Mathematical Finance, 2002, vol. 12, issue 4, 447-451

Abstract: A senera1 proof of the Dybvig‐Ingersoll‐Ross Theorem o n thc monotonicity of long foraard rates is presented. Some inconsistencies in the original proof o f this theorein are discussed.

Date: 2002
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