Approximate Closed-Form Solutions for Pricing Zero-Coupon Bonds in the Zero Lower Bound Framework
After the 2007 financial crisis, many central banks adopted policies to lower their interest rates; the dynamics of these rates cannot be captured using classical models. Recently, Meucci and Loregian proposed an approach to estimate nonnegative interest rates using the inverse-call transformation....
محفوظ في:
| المؤلفون الرئيسيون: | , |
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| التنسيق: | Artigo |
| اللغة: | Inglês |
| منشور في: |
MDPI AG
2024-08-01
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| سلاسل: | Mathematics |
| الموضوعات: | |
| الوصول للمادة أونلاين: | https://www.mdpi.com/2227-7390/12/17/2690 |
| الوسوم: |
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