WIAS Preprint No. 41, (1993)

An approach to bond pricing.



Authors

  • Platen, Eckhard

2010 Mathematics Subject Classification

  • 60H10

Keywords

  • Bond pricing, stochastic differential equations, nonlinear partial differential equations, term structure of interest rates

DOI

10.20347/WIAS.PREPRINT.41

Abstract

The paper proposes a simple arbitrage free approach for modelling bond prices. A natural structure of the volatility and expected return premium of bond price processes is directly obtained.

Download Documents