Honda, Tetsuhiro; Tamaki, Kenichiro; Shiohama, Takayuki - In: Finance Research Letters 7 (2010) 1, pp. 60-69
This paper considers the effect on zero-coupon bond price valuation when short rate model has non-Gaussian dependent innovations. Higher order asymptotic theory enables us to obtain the approximate bond price formula. Some numerical examples are presented, where the process of innovations...