THE DOTHAN PRICING MODEL REVISITED

作者：Caroline Pintoux, Nicolas Privault · 发表于：Mathematical Finance · 年份：2010 · DOI：10.1111/j.1467-9965.2010.00434.x · 被引用次数：21 · 研究领域：Stochastic processes and financial applications、Financial Markets and Investment Strategies、Monetary Policy and Economic Impact

We compute zero‐coupon bond prices in the Dothan model by solving the associated PDE using integral representations of heat kernels and Hartman–Watson distributions. We obtain several integral formulas for the price P(t, T) at time t > 0 of a bond with maturity T > 0 that complete those of the original paper of Dothan, which are shown not to always satisfy the boundary condition P(T, T) = 1.