Title: A bond pricing formula under a non-trivial, three-factor model of interest rates
Abstract: Abstract In this paper a bond pricing formula is derived under a non-trivial, three-factor model of interest rates. In the model the future short rate depends on (1) the current short rate, (2) the short-term mean of the short rate, and (3) the current volatility of the short rate. In addition, it is assumed that both the short-term mean and the volatility are stochastic.
Publication Year: 1996
Publication Date: 1996-04-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 6
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