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An analytic approximation formula for pricing zero-coupon bonds

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  • Choi, Youngsoo
  • Wirjanto, Tony S.

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  • Choi, Youngsoo & Wirjanto, Tony S., 2007. "An analytic approximation formula for pricing zero-coupon bonds," Finance Research Letters, Elsevier, vol. 4(2), pages 116-126, June.
  • Handle: RePEc:eee:finlet:v:4:y:2007:i:2:p:116-126
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    References listed on IDEAS

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    1. Dahlquist, Magnus, 1996. "On alternative interest rate processes," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 1093-1119, July.
    2. 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.
    3. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    4. Brennan, Michael J. & Schwartz, Eduardo S., 1982. "An Equilibrium Model of Bond Pricing and a Test of Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(03), pages 301-329, September.
    5. Grossman, S J & Melino, Angelo & Shiller, Robert J, 1987. "Estimating the Continuous-Time Consumption-Based Asset-Pricing Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(3), pages 315-327, July.
    6. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
    7. Tse, Y. K., 1995. "Some international evidence on the stochastic behavior of interest rates," Journal of International Money and Finance, Elsevier, vol. 14(5), pages 721-738, October.
    8. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    9. Longstaff, Francis A, 1990. " Time Varying Term Premia and Traditional Hypotheses about the Term Structure," Journal of Finance, American Finance Association, vol. 45(4), pages 1307-1314, September.
    10. Longstaff, Francis A, 1989. " Temporal Aggregation and the Continuous-Time Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 44(4), pages 871-887, September.
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    Cited by:

    1. Masakazu Miura & Kenichiro Tamaki & Takayuki Shiohama, 2013. "Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 311-344, November.
    2. Recchioni, M.C. & Sun, Y., 2016. "An explicitly solvable Heston model with stochastic interest rate," European Journal of Operational Research, Elsevier, vol. 249(1), pages 359-377.
    3. Yougsoo Choi & Tony S. Wirjanto, 2008. "A Simple Model of the Nominal Term Structure of Interest Rates," Working Papers 08011, University of Waterloo, Department of Economics.
    4. Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi, 2016. "Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model," Working Papers 2016/23, Economics Department, Universitat Jaume I, Castellón (Spain).
    5. Zuzana Buckova & Beata Stehlikova & Daniel Sevcovic, 2016. "Numerical and analytical methods for bond pricing in short rate convergence models of interest rates," Papers 1607.04968, arXiv.org.
    6. Tangman, D.Y. & Thakoor, N. & Dookhitram, K. & Bhuruth, M., 2011. "Fast approximations of bond option prices under CKLS models," Finance Research Letters, Elsevier, vol. 8(4), pages 206-212.
    7. Honda, Tetsuhiro & Tamaki, Kenichiro & Shiohama, Takayuki, 2010. "Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations," Finance Research Letters, Elsevier, vol. 7(1), pages 60-69, March.

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