Chen, Ren-Raw; Yang, T L Tyler - In: Review of Quantitative Finance and Accounting 19 (2002) 1, pp. 5-20
In this paper, we present a simple version of the Duffie and Kan model (1996). Our model can perfectly fit the yield curve and the volatility curve and further provide true closed form solutions to the pure discount bond price and its European contingent claims. Due to the specific factor...
