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 AM  Vol.1 No.1 , May 2010
Implied Bond and Derivative Prices Based on Non-Linear Stochastic Interest Rate Models
Abstract: In this paper we expand the Box Method of Sorwar et al. (2007) to value both default free bonds and interest rate contingent claims based on one factor non-linear interest rate models. Further we propose a one-factor non-linear interest rate model that incorporates features suggested by recent research. An example shows the extended Box Method works well in practice.
Cite this paper: nullG. Sorwar and S. Mozumder, "Implied Bond and Derivative Prices Based on Non-Linear Stochastic Interest Rate Models," Applied Mathematics, Vol. 1 No. 1, 2010, pp. 37-43. doi: 10.4236/am.2010.11006.
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