A volatility-varying and jump-diffusion Merton type model of interest rate risk

DOI10.1016/j.insmatheco.2005.08.010zbMath1112.91033OpenAlexW2024268888MaRDI QIDQ2507948

Fernando Espinosa, Josep Vives

Publication date: 5 October 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.08.010

zbMATH Keywords

Lévy processesinterest ratejump-diffusion modelsMerton model

Mathematics Subject Classification ID

Economic time series analysis (91B84) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)

Related Items (3)

Estimation of the instantaneous volatility ⋮ Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps ⋮ A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility

Cites Work

• The Pricing of Options and Corporate Liabilities
• On Lévy processes, Malliavin calculus and market models with jumps
• A Stroock formula for a certain class of Lévy processes and applications to finance
• Approximations of small jumps of Lévy processes with a view towards simulation
• Option pricing when underlying stock returns are discontinuous
• The Bose-Einstein Condensation for Charged Particles in a Magnetic Field
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