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An analytic approximation formula for pricing zero-coupon bonds

✍ Scribed by Youngsoo Choi; Tony S. Wirjanto


Book ID
116494780
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
330 KB
Volume
4
Category
Article
ISSN
1544-6123

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Analytic approximation formulae for pric
✍ Chueh-Yung Tsao; Chuang-Chang Chang; Chung-Gee Lin πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 190 KB

## Abstract In this article we first identify a missing term in the Bouaziz, Briys, and Crouhy (1994) pricing formula for forward‐starting Asian options and derive the correct one. First, illustrate in certain cases that the missing term in their pricing formula could induce large pricing errors or