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• W1569105533 abstract "We present an analytical formula for zero-coupon bond prices in a one-factor term structure model where the spot interest rate follows a log-normal diffusion. The pricing formula is implemented via a recursive algorithm which is easily coded and which is extremely fast. Illustrative numerical examples are provided and comparisons with results from industry standard Monte Carlo simulations are made. These comparisons support the effectiveness of our proposed algorithm." @default.
• W1569105533 created "2016-06-24" @default.
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• W1569105533 date "1998-01-01" @default.
• W1569105533 modified "2023-09-23" @default.
• W1569105533 title "Exact Analytical Valuation of Bonds when Spot Interest Rates are Log-Normal" @default.
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• W1569105533 doi "https://doi.org/10.2139/ssrn.110773" @default.
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