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

Economics Letters

Volumn 51, Issue 1, 1996, Pages 95-99

  Chen, Lin ^a  

^a FEDERAL RESERVE BOARD   (United States)

Author keywords

Bond pricing; Multi factor model; Stochastic volatility; Term structure; Time varying mean

Indexed keywords

EID: 0030119388     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1765(95)00743-1     Document Type: Article

References (4)

1. Chan, K.C., G.A. Karolyi, F. Longstaff and A.B. Sanders, 1992, An empirical comparison of alternative models of the short-term interest rates, Journal of Finance 47, 1209-1228.
2. D. Duffie, 1992, Dynamic asset pricing theory (Princeton University Press, Princeton, NJ).
3. A. Friedman, 1975, Stochastic differential equations and applications, Vol. 1 (Academic Press, New York).
4. R. Litterman, J. Scheinkman and L. Weiss, 1991, Volatility and the yield curve, The Journal of fixed Income, 49-53.