The Dothan Pricing Model Revisited
affiliation not provided to SSRN
Université de la Rochelle
Mathematical Finance, Vol. 21, Issue 2, pp. 355-363, 2011
We compute zero-coupon bond prices in the Dothan model by solving the associated PDE using integral representations of heat kernels and HartmanWatson distributions. We obtain several integral formulas for the priceat timeof a bond with maturitythat complete those of the original paper of Dothan, which are shown not to always satisfy the boundary condition.
Number of Pages in PDF File: 9
Keywords: interest rate models, Dothan model, PDE, heat kernel, option pricing, Hartman-Watson distribution, Bessel functionsAccepted Paper Series
Date posted: February 14, 2011
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