摘要翻译：
在短期利率由一个波动率非线性依赖于利率本身的单因素均值回归过程驱动的情况下，我们分析了零息票债券定价的解析逼近公式。我们导出了由Choi和Wirjanto得到的解析近似的精度阶。我们进一步给出了高阶近似的显式公式，并对一类单因素利率模型的高阶近似进行了数值检验。
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英文标题：
《Approximate formulae for pricing zero-coupon bonds and their asymptotic
  analysis》
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作者：
Beata Stehlikova and Daniel Sevcovic
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Numerical Analysis        数值分析
分类描述：Numerical algorithms for problems in analysis and algebra, scientific computation
分析和代数问题的数值算法，科学计算
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英文摘要：
  We analyze analytic approximation formulae for pricing zero-coupon bonds in the case when the short-term interest rate is driven by a one-factor mean-reverting process with a volatility nonlinearly depending on the interest rate itself. We derive the order of accuracy of the analytical approximation due to Choi and Wirjanto. We furthermore give an explicit formula for a higher order approximation and we test both approximations numerically for a class of one-factor interest rate models.
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PDF链接：
https://arxiv.org/pdf/0802.3039