We consider a general one-factor short rate model, in which the instantaneousinterest rate is driven by a univariate diffusion with time independent driftand volatility. We construct recursive formula for the coefficients of theTaylor expansion of the bond price and its logarithm around $\tau=0$, where$\tau$ is time to maturity. We provide numerical examples of convergence of thepartial sums of the series and compare them with the known exact values in thecase of Cox-Ingersoll-Ross and Dothan model.
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机译：我们考虑一个通用的单因素短期利率模型，其中瞬时利率由具有时间独立漂移和波动性的单变量扩散驱动。我们为债券价格的泰勒展开系数及其对数在$ \ tau = 0 $附近构建递归公式，其中$ \ tau $是到期时间。我们提供了该序列的部分和收敛的数值示例，并将它们与Cox-Ingersoll-Ross和Dothan模型的情况下的已知精确值进行比较。
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