A simple class of square-root interest-rate models

An analytically tractable class of square-root interest-rate models is introduced. Algebraic expressions are found for the drift and volatility parameters of the short rate in terms of initial yield and volatility curves. Explicit formulae are derived for bond, Arrow-Debreu, and European and American bond options.

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Year of publication:	1995
Authors:	Jamshidian, F.
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 2.1995, 1, p. 61-72
Publisher:	Taylor & Francis Journals
Subject:	square-root process \| chi-squared distribution \| Riccati equation \| yield curve \| volatility curve \| bond option

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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