Accuracy of analytical approximation formula for bond prices in a three-factor convergence model of interest rates (Q6582152)
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scientific article; zbMATH DE number 7891001
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| English | Accuracy of analytical approximation formula for bond prices in a three-factor convergence model of interest rates |
scientific article; zbMATH DE number 7891001 |
Statements
Accuracy of analytical approximation formula for bond prices in a three-factor convergence model of interest rates (English)
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2 August 2024
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short rate
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convergence model
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bond-pricing partial differential equation
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approximate analytical solution
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order of accuracy
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0.8687722086906433
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0.820070743560791
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0.8155108690261841
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0.7920007109642029
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0.7643678784370422
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