Caracterización del Precio de un Bono Cupón Cero en un Modelo de Equilibrio General

Venegas-Martínez, Francisco (2014): Caracterización del Precio de un Bono Cupón Cero en un Modelo de Equilibrio General.

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.

• Item Type: MPRA Paper
• English Title: Characterization of the Price of a Zero-Coupon Bond in a General Equilibrium Model
• Language: Spanish
• Keywords: Mercados financieros, valuación de activos
• Subjects: G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates

References

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Watson, G. N. (1966). A Treatise on the Theory of Bessel functions. Cambridge University Press.

Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, Vol. 5, No. 2, pp. 177-188.