Article ID Journal Published Year Pages File Type
5069957 Finance Research Letters 2007 11 Pages PDF
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
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An analytic approximation formula for pricing zero-coupon bonds
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