IDEAS home Printed from https://ideas.repec.org/a/bla/mathfi/v2y1992i1p33-46.html
   My bibliography  Save this article

The Relationship Between Risk and Maturity In A Stochastic Setting

Author

Listed:
  • Paul H. Zipkin

Abstract

This paper explores the interest rate sensitivity of the prices of bonds and other securities when the instantaneous interest rate follows a Markov process. We show that whenever the interest rate describes a diffusion process the sensitivity of zero‐coupon bonds increases with maturity. More generally, we characterize the risk‐maturity relationship for contingent claims. This investigation yields a new property of option prices in the case where the underlying security price is a diffusion.

Suggested Citation

  • Paul H. Zipkin, 1992. "The Relationship Between Risk and Maturity In A Stochastic Setting," Mathematical Finance, Wiley Blackwell, vol. 2(1), pages 33-46, January.
    • Handle: RePEc:bla:mathfi:v:2:y:1992:i:1:p:33-46
    DOI: 10.1111/j.1467-9965.1992.tb00024.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9965.1992.tb00024.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9965.1992.tb00024.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Perry, David & Berg, M. & Posner, M. J. M., 2001. "Stochastic models for broker inventory in dealership markets with a cash management interpretation," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 23-34, August.
    2. Perry, David & Stadje, Wolfgang, 2000. "Risk analysis for a stochastic cash management model with two types of customers," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 25-36, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:2:y:1992:i:1:p:33-46. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.