Albiol, Hortensia Fontanals; Galisteo, Merche; Valle, … - Facultat d'Economia i Empresa, Universitat de Barcelona - 1998
The main goal of this paper is to develop a model of the term structure of interest rates, based on a Black-Sholes type of arbitrage and study its properties. In order to achieve this objective two state variables are considered: the long-term interest rate l(t), and the spread (difference...