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

被引：4

作者：

Chen, L

机构：

[1] Federal Research Board, Washington, DC 20551

来源：

ECONOMICS LETTERS | 1996年 / 51卷 / 01期

关键词：

term structure; stochastic volatility; time-varying mean; bond pricing; multi-factor model;

D O I：

10.1016/0165-1765(95)00743-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper a bond pricing formula is derived under a non-trivial, three-factor model of interest rates. In the model the future short rate depends on (1) the current short rate, (2) the short-term mean of the short rate, and (3) the current volatility of the short rate. In addition, it is assumed that both the short-term mean and the volatility are stochastic.

引用

页码：95 / 99

页数：5