@Article{IJNAM-6-2,
author = {},
title = {Approximate Formulae for Pricing Zero-Coupon Bonds and Their Asymptotic Analysis},
journal = {International Journal of Numerical Analysis and Modeling},
year = {2009},
volume = {6},
number = {2},
pages = {274--283},
abstract = {<p style="text-align: justify;">We analyze analytic approximation formulae for pricing zero-coupon bonds in the case when the short-term interest rate is driven by a
one-factor mean-reverting process with a volatility nonlinearly depending on
the interest rate itself. We derive the order of accuracy of the analytical approximation due to Choi and Wirjanto. We furthermore give an explicit formula
for a higher order approximation and we test both approximations numerically
for a class of one-factor interest rate models.</p>},
issn = {2617-8710},
doi = {https://doi.org/2009-IJNAM-767},
url = {https://global-sci.com/article/83648/approximate-formulae-for-pricing-zero-coupon-bonds-and-their-asymptotic-analysis}
}