Jump‐Diffusion Processes and the Term Structure of Interest Rates
Jump‐Diffusion Processes and the Term Structure of Interest Rates
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DOI：
10.1111/j.1540-6261.1988.tb02595.x
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发表时间：
1988-03
影响因子：
8
通讯作者：
C. Ahn;H. Thompson
中科院分区：
文献类型：
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作者：
C. Ahn;H. Thompson
使用扩展的考克斯，英格索尔，和罗斯模型时，状态变量和生产技术遵循跳跃扩散过程的期限结构进行了研究。在存在跳跃扩散的情况下，作者发现：（1）R. Merton的多β CAPM一般不成立; Breeden的单一消费贝塔不成立;（3）传统的期限结构预期理论与均衡理论不一致;（4）具有对数效用的投资者将对冲投资机会集中的波动。版权所有1988年美国金融协会。
The term structure is investigated using an extension of the Cox, Ingersoll, and Ross model when state variables and production technologies follow jump-diffusion processes. In the presence of jump diffusions, the authors find: (1) R. Merton's multi-beta CAPM does not hold in general; (2) D. Breeden's single consumption beta does not hold; (3) traditional expectations theory of the term structure is not consistent with equilbrium; and (4) investors with logarithmic utility will hedge movements in the investment opportunities set. , Copyright 1988 by American Finance Association.