We study the asymptotic behavior of the solutions of a differential equation with unbounded delay. The results presented are based on the first Lyapunov method, which is often used to construct solutions of ordinary differential equations in the form of power series. This technique cannot be applied to delayed equations and hence we express the solution as an asymptotic expansion. The existence of a solution is proved by the retract method.
In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox-Ingersoll-Ross two factors model describing clustering of interest rate volatilities. The main goal is to derive an asymptotic expansion of the bond price with respect to a singular parameter representing the fast scale for the stochastic volatility process. We derive the second order asymptotic expansion of a solution to the two factors generalized CIR model and we show that the first two terms in the expansion are independent of the variable representing stochastic volatility.