A bond pricing formula under a non-trivial, three-factor model of interest rates

DOI10.1016/0165-1765(95)00743-1zbMATH Open0875.90051OpenAlexW2082337289MaRDI QIDQ1351133

Lin Chen

Publication date: 27 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00743-1

zbMATH Keywords

Term structureStochastic volatilityBond pricingMulti-factor modelTime-varying mean

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Title not available (Why is that?)

Related Items (4)

ON THE FOUR-PARAMETER BOND PRICING MODEL ⋮ Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model ⋮ Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model ⋮ Three-factor interest rate models

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