New Approximations to Bond Prices in the Cox–Ingersoll–Ross Convergence Model with Dynamic Correlation
We study a particular case of a convergence model of interest rates. The bond prices are given as solutions of a parabolic partial differential equation and we consider different possibilities of approximating them, using approximate analytical solutions. We consider an approximation already suggest...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-06-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/9/13/1469 |