论文信息 - An analytic approximation formula for pricing zero-coupon bonds

An analytic approximation formula for pricing zero-coupon bonds

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.

Tony S. Wirjanto | Youngsoo Choi | Youngsoo Choi | T. Wirjanto

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