ON THE FOUR-PARAMETER BOND PRICING MODEL

DOI10.12732/IJAM.V29I1.5zbMATH Open1380.91136OpenAlexW2340274857MaRDI QIDQ2959628FDOQ2959628

Man M. Chawla

Publication date: 9 February 2017

Published in: International Journal of Apllied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.12732/ijam.v29i1.5

zbMATH Keywords

yield curvestochastic differential equationgeneral solutionCox-Ingersoll-Ross modelVasicek modelbond pricing equationfour-parameter random walk modelshort term rate of interest

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (5)

• Random step functions model for interest rates
• A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
• Tractable forms of the bond pricing equation
• Fundamental solutions for zero-coupon bond pricing models
• Three ways to solve for bond prices in the Vasiček model

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