IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v51y1996i1p95-99.html
   My bibliography  Save this article

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

Author

Listed:
  • Chen, Lin

Abstract

No abstract is available for this item.

Suggested Citation

  • Chen, Lin, 1996. "A bond pricing formula under a non-trivial, three-factor model of interest rates," Economics Letters, Elsevier, vol. 51(1), pages 95-99, April.
    • Handle: RePEc:eee:ecolet:v:51:y:1996:i:1:p:95-99
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0165-1765(95)00743-1
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Chan, K C, et al, 1992. "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Christopher M. Bilson & Timothy J. Brailsford & Luke J. Sullivan & Sirimon Treepongkaruna, 2008. "Pricing Bonds in the Australian Market," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 123-143, June.
    2. Bufalo, Michele & Orlando, Giuseppe, 2023. "A three-factor stochastic model for forecasting production of energy materials," Finance Research Letters, Elsevier, vol. 51(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Sergio Zúñiga, 1999. "Modelos de Tasas de Interés en Chile: Una Revisión," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 36(108), pages 875-893.
    2. Gabriel J Power & Charli D. Tandja M. & Josée Bastien & Philippe Grégoire, 2015. "Measuring infrastructure investment option value," Journal of Risk Finance, Emerald Group Publishing, vol. 16(1), pages 49-72, January.
    3. Podolskij, Mark & Vetter, Mathias, 2009. "Bipower-type estimation in a noisy diffusion setting," Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 2803-2831, September.
    4. Mahdavi, Mahnaz, 2008. "A comparison of international short-term rates under no arbitrage condition," Global Finance Journal, Elsevier, vol. 18(3), pages 303-318.
    5. Ilias Lekkos, 2003. "Cross‐sectional Restrictions on the Spot and Forward Term Structures of Interest Rates and Panel Unit Root Tests," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(5‐6), pages 799-828, June.
    6. Takamizawa, Hideyuki & Shoji, Isao, 2009. "Modeling the term structure of interest rates with general diffusion processes: A moment approximation approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 65-77, January.
    7. Chen, Bin & Song, Zhaogang, 2013. "Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach," Journal of Econometrics, Elsevier, vol. 173(1), pages 83-107.
    8. Taylor, Nicholas, 2012. "Measuring the economic value of loan advice," Economics Letters, Elsevier, vol. 117(3), pages 615-618.
    9. Vygintas Gontis & Aleksejus Kononovicius & Stefan Reimann, 2012. "The class of nonlinear stochastic models as a background for the bursty behavior in financial markets," Papers 1201.3083, arXiv.org, revised May 2012.
    10. Yu, Jun, 2012. "Bias in the estimation of the mean reversion parameter in continuous time models," Journal of Econometrics, Elsevier, vol. 169(1), pages 114-122.
    11. Bent Jesper Christensen & Michael Sørensen, 2008. "Optimal inference in dynamic models with conditional moment restrictions," CREATES Research Papers 2008-51, Department of Economics and Business Economics, Aarhus University.
    12. Spiros H. Martzoukos & Theodore M. Barnhill Jr., 1998. "The Survival Zone For A Bond With Both Call And Put Options Embedded," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(4), pages 419-430, December.
    13. Tse, Y.K., 1995. "Interest rate models and option pricing: A sensitivity analysis," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(3), pages 431-436.
    14. O.T. Henry & S. Suardi, 2005. "Testing For Asymmetry In Interest Rate Volatility In The Presence Of A Neglected Level Effect," Department of Economics - Working Papers Series 945, The University of Melbourne.
    15. David K. Backus & Stanley E. Zin, 1994. "Reverse Engineering the Yield Curve," Working Papers 94-09, New York University, Leonard N. Stern School of Business, Department of Economics.
    16. Raymond Chiang & Thomas F. Gosnell & Andrea J. Heuson, 1997. "Evaluating the Interest-Rate Risk of Adjustable-Rate Mortgage Loans," Journal of Real Estate Research, American Real Estate Society, vol. 13(1), pages 77-94.
    17. de Goeij, Peter & Marquering, Wessel, 2009. "Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 318-329, March.
    18. Michael J. Alderson & Neil L. Seitz, 2013. "Pension Policy and the Value of Corporate-Level Investment," Financial Management, Financial Management Association International, vol. 42(2), pages 413-440, June.
    19. Yu, Jun, 2014. "Econometric Analysis Of Continuous Time Models: A Survey Of Peter Phillips’S Work And Some New Results," Econometric Theory, Cambridge University Press, vol. 30(4), pages 737-774, August.
    20. Munk, Claus & Sorensen, Carsten, 2004. "Optimal consumption and investment strategies with stochastic interest rates," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1987-2013, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:51:y:1996:i:1:p:95-99. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.