On the term structure of interest rates |
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| Authors: | LUri Dothan |
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| Institution: | Graduate School of Management, Northwestern University, Evanston, IL 60201, U.S.A. |
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| Abstract: | The paper presents a valuation formula for default free bonds for a certain class of tastes when the instantaneously riskfree rate of interest follows a geometric Wiener process. Properties of the resulting term structure of interest rates are studied, and an application of the analysis to the pricing of Treasury Bills is proposed. |
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