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
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.
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