A volatility-varying and jump-diffusion Merton type model of interest rate risk (Q2507948): Difference between revisions
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Revision as of 08:24, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A volatility-varying and jump-diffusion Merton type model of interest rate risk |
scientific article |
Statements
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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