Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump (Q886317): Difference between revisions
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| Property / DOI: 10.1016/j.spl.2006.08.022 / rank | |||
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| Property / author: Ching-Sung Chou / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / full work available at URL: https://doi.org/10.1016/j.spl.2006.08.022 / rank | |||
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| Property / OpenAlex ID: W2075169510 / rank | |||
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| Property / cites work: Q4945342 / rank | |||
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Latest revision as of 07:03, 10 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump |
scientific article |
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Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump (English)
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26 June 2007
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Bessel functions
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Bessel-squared processes with jumps
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CIR processes
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Markov processes
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resolvent
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zero coupon bonds
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