We derive an explicit asymptotic approximation for the implied volatilities of Call options written on bonds assuming the short-rate is described by an affine short-rate model. For specific affine short-rate models, we perform numerical experiments in order to gauge the accuracy of our approximation.

中文翻译：

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债券期权：仿射短期利率动态的隐含波动率

假设短期利率由仿射短期利率模型描述，我们推导出债券看涨期权的隐含波动率的显式渐近近似。对于特定的仿射短速率模型，我们进行数值实验以衡量我们的近似值的准确性。