Stochastic Duration and Fast Coupon Bond Option Pricing in Multi-Factor Models
نویسندگان
چکیده
منابع مشابه
Stochastic Duration and Fast Coupon Bond Option Pricing in Multi-Factor Models
Generalizing Cox, Ingersoll, and Ross (1979), this paper defines the stochastic duration of a bond in a general multi-factor diffusion model as the time to maturity of the zero-coupon bond with the same relative volatility as the bond. Important general properties of the stochastic duration measure are derived analytically, and the stochastic duration is studied in detail in various well-known ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 1998
ISSN: 1556-5068
DOI: 10.2139/ssrn.121313