Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis
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Publication:3621215
zbMath1159.91398arXiv0802.3039MaRDI QIDQ3621215
Beata Stehlíková, Daniel Ševčovič
Publication date: 15 April 2009
Full work available at URL: https://arxiv.org/abs/0802.3039
bond priceCox-Ingersoll-Ross modelexperimental order of convergenceanalytical approximation formulaone factor interest rate model
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