ON THE FOUR-PARAMETER BOND PRICING MODEL

DOI10.12732/ijam.v29i1.5zbMath1380.91136OpenAlexW2340274857MaRDI QIDQ2959628

M. 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

stochastic differential equationgeneral solutionCox-Ingersoll-Ross modelVasicek modelyield curvebond pricing equationfour-parameter random walk modelshort term rate of interest

Mathematics Subject Classification ID

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) Derivative securities (option pricing, hedging, etc.) (91G20)