Approximate Formulas for Zero‐coupon Bonds

DOI10.1080/13504860600858204zbMath1186.91201OpenAlexW2041128158MaRDI QIDQ5310695

Gilberto Schleiniger, Fabricio Tourrucôo, Patrick S. Hagan

Publication date: 11 October 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860600858204

zbMATH Keywords

calibrationPerturbation methodsapproximate and exact solutionsgeneralized Black-Karasinski modelpricing fixed-income instruments

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Related Items (8)

AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL ⋮ Numerical pricing of financial derivatives using Jain's high-order compact scheme ⋮ Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion ⋮ Closed-form Arrow-Debreu pricing for the Hull-White short rate model ⋮ Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model ⋮ APPROXIMATIONS OF BOND AND SWAPTION PRICES IN A BLACK–KARASIŃSKI MODEL ⋮ A path-integral approximation for non-linear diffusions ⋮ Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences

Cites Work

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• Multiple scale and singular perturbation methods
• Equivalent Black volatilities
• Pricing Interest-Rate-Derivative Securities

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