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Compounding and Discounting With Stochastic Interest Rates

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  • Carmelo Giaccotto

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Suggested Citation

  • Carmelo Giaccotto, 1989. "Compounding and Discounting With Stochastic Interest Rates," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 16(5), pages 745-769, December.
    • Handle: RePEc:bla:jbfnac:v:16:y:1989:i:5:p:745-769
    DOI: 10.1111/j.1468-5957.1989.tb00051.x
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    References listed on IDEAS

    as
    1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    2. Brennan, Michael J. & Schwartz, Eduardo S., 1982. "An Equilibrium Model of Bond Pricing and a Test of Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(3), pages 301-329, September.
    3. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 627-627, November.
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    Cited by:

    1. Arun J. Prakash & Michael W. Smyser & Shahid S. Hamid, 1995. "Log‐Normality And Arbitrage Free Bounds On The Distribution Range Of Zero‐Coupon Pure Discount Bond Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 22(6), pages 769-788, September.

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