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- W2289243850 abstract "We present a model in which the interest rate reverts to a nonstationary stochastic mean. In our model, the stochastic mean is subject to a sequence of permanent shocks that can better capture the source of nonlinearity in the drift than extant models. We find that our model provides a better fit to observed interest rates relative to a large number of alternative models. In particular, the Vasicek model with a nonstationary mean outperforms constant elasticity of volatility models. The implied bond option price from our model accounts for the downward bias in existing bond option valuation models." @default.
- W2289243850 created "2016-06-24" @default.
- W2289243850 date "2015-01-01" @default.
- W2289243850 modified "2023-10-17" @default.
- W2289243850 title "Continuous Time Spot Rate Models with a Nonstationary Mean" @default.
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- W2289243850 doi "https://doi.org/10.2139/ssrn.2654446" @default.
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