A MULTIFACTORIAL MODEL
Journal Title: Journal of Science And Arts - Year 2008, Vol 8, Issue 1
Abstract
The multifactorial models refer to the dependence of a bond on several parameters, unlike the unifactorial ones depending on the interest rate only. We suppose that the value P of a bond is dependent on two random factors: the interest rate r and the volatility . Our purpose is to find a procedure to offer the bond value at a specific moment in time. A numerical method is indicated in this respect.
Authors and Affiliations
Gabriel Nepotu
Keywords
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