Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations

  • Honda T
  • Tamaki K
  • Shiohama T
  • 3

    Readers

    Mendeley users who have this article in their library.
  • 4

    Citations

    Citations of this article.

Abstract

This paper considers the effect on zero-coupon bond price valuation when short rate model has non-Gaussian dependent innovations. Higher order asymptotic theory enables us to obtain the approximate bond price formula. Some numerical examples are presented, where the process of innovations follows particular model. These examples indicate non-Gaussianity and dependency of innovations have a great influence on zero-coupon bond price. © 2009 Elsevier Inc. All rights reserved.

Author-supplied keywords

  • Edgeworth expansion
  • Short rates
  • Vasicek model
  • Zero-coupon bond pricing

Get free article suggestions today

Mendeley saves you time finding and organizing research

Sign up here
Already have an account ?Sign in

Find this document

Authors

Cite this document

Choose a citation style from the tabs below

Save time finding and organizing research with Mendeley

Sign up for free