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Caracterización del Precio de un Bono Cupón Cero en un Modelo de Equilibrio General
[Characterization of the Price of a Zero-Coupon Bond in a General Equilibrium Model]

Author

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  • Venegas-Martínez, Francisco

Abstract

Spanish Abstract: En esta investigación se desarrolla un modelo de equilibrio general en una economía estocástica, poblada por consumidores-inversionistas idénticos, competitivos y adversos al riesgo. El modelo permite caracterizar el precio de un bono cupón cero en equilibrio. Dicha caracterización se lleva a cabo mediante las funciones de Bessel. English Abstract: This paper develops a general equilibrium model of a stochastic economy, populated by identical, competitive and risk-adverse consumer-investors. The model allows characterizing the price of a zero-coupon bond in the equilibrium. This characterization is carried out by means of the non-central chi-square distribution and Bessel functions.

Suggested Citation

  • Venegas-Martínez, Francisco, 2014. "Caracterización del Precio de un Bono Cupón Cero en un Modelo de Equilibrio General [Characterization of the Price of a Zero-Coupon Bond in a General Equilibrium Model]," MPRA Paper 54847, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:54847
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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. Dothan, L. Uri, 1978. "On the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 6(1), pages 59-69, March.
    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.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Mercados financieros; valuación de activos;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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