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

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Year of publication:	2013
Authors:	Choi, Youngsoo
Other Persons:	Wirjanto, Tony S. (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Zinsstruktur \| Yield curve \| CAPM
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Finance Research Letters 4 (2007) 116-126, 1997 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 1997 erstellt Volltext nicht verfügbar
Classification:	C02 - Mathematical Methods ; C65 - Miscellaneous Mathematical Tools ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013084098