A volatility-varying and jump-diffusion Merton type model of interest rate risk (Q2507948): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.08.010 / rank
 
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Latest revision as of 21:26, 24 June 2024

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A volatility-varying and jump-diffusion Merton type model of interest rate risk
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    A volatility-varying and jump-diffusion Merton type model of interest rate risk (English)
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    5 October 2006
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    Lévy processes
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    Merton model
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    jump-diffusion models
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    interest rate
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