Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069957 | Finance Research Letters | 2007 | 11 Pages |
Abstract
This paper presents an analytic approximation formula for pricing zero-coupon bonds, when the dynamics of the short-term interest rate are driven by a one-factor mean-reverting process in which changes in the volatility of the interest rate are a function of the level of the interest rate.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Youngsoo Choi, Tony S. Wirjanto,