@article{19f645078e3d464382472b86b8ffcd50,
title = "Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations",
abstract = "This paper considers the effect on zero-coupon bond price valuation when short rate model has non-Gaussian dependent innovations. Higher order asymptotic theory enables us to obtain the approximate bond price formula. Some numerical examples are presented, where the process of innovations follows particular model. These examples indicate non-Gaussianity and dependency of innovations have a great influence on zero-coupon bond price.",
keywords = "Edgeworth expansion, Short rates, Vasicek model, Zero-coupon bond pricing",
author = "Tetsuhiro Honda and Kenichiro Tamaki and Takayuki Shiohama",
note = "Funding Information: The authors are very grateful to the Editor and an anonymous referee for their helpful comments and suggestions that led to an improvement of the paper. This research was supported by Grant-in-Aid for Young Scientists (B) ( 19700268 ) and the Norinchukin Bank and Nochu Information System endowed chair of Financial Engineering in the Department of Management Science, Tokyo University of Science . Copyright: Copyright 2010 Elsevier B.V., All rights reserved.",
year = "2010",
month = mar,
doi = "10.1016/j.frl.2009.12.001",
language = "English",
volume = "7",
pages = "60--69",
journal = "Finance Research Letters",
issn = "1544-6123",
publisher = "Elsevier BV",
number = "1",
}