Rational term structure models with geometric Lévy martingales
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Publication:3145086
DOI10.1080/17442508.2012.689835zbMath1258.91211arXiv1012.1793OpenAlexW3102765787WikidataQ62272438 ScholiaQ62272438MaRDI QIDQ3145086
Dorje C. Brody, Ewan MacKie, Lane P. Hughston
Publication date: 13 December 2012
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1012.1793
Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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