Edeki, S.O. and Okoli, DEBORAH CHIKWADO and AHMAD, HIJAZ and WONG, WING-KEUNG (2021) Approximate series solutions of a one-factor term structure model for bond pricing. Annals of Financial Economics, 16 (4). ISSN 2010-4960
![[img]](http://eprints.covenantuniversity.edu.ng/style/images/fileicons/application_pdf.png) |
PDF
Download (6kB) |
Abstract
One-factor term structure model in finance and economic setups conveys the opinion that there exists only one Brownian process in the formulation of the short rate model as one source of randomness. To extend the theory, in this paper, we develop the approximate solution of a one-factor bond pricing model that can be used to obtain solutions of both nonlinear and multi-factor models and get applications of two proposed solution methods: Elzaki Adomian decomposition method (EADM) and Laplace Adomian decomposition solution method (LADM). We first obtain an efficient, reliable and approximate-analytical solution for a one-factor bond pricing model. We provide illustrative examples that are in good agreement when compared with those already in literature. The methods are very effective in the application being the modified version of the classical Elzaki, and Laplace transforms. Since our proposed methods are effective and efficient, we recommend academics and practitioners apply our proposed model to obtain solutions for some financial models, including both the multi-factor and nonlinear models.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Bond pricingone-factor modeloption pricingsolution methodBlack Scholes modeldecomposition method |
| Subjects: | Q Science > Q Science (General) Q Science > QA Mathematics |
| Divisions: | Faculty of Engineering, Science and Mathematics > School of Mathematics |
| Depositing User: | AKINWUMI |
| Date Deposited: | 03 Feb 2023 09:45 |
| Last Modified: | 03 Feb 2023 09:45 |
| URI: | http://eprints.covenantuniversity.edu.ng/id/eprint/16583 |
Actions (login required)
 |
View Item |
