What is the natural scale for a Lévy process in modelling term structure of interest rates? (Q2461277)
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scientific article; zbMATH DE number 5214741
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| English | What is the natural scale for a Lévy process in modelling term structure of interest rates? |
scientific article; zbMATH DE number 5214741 |
Statements
What is the natural scale for a Lévy process in modelling term structure of interest rates? (English)
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27 November 2007
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state price density approach
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term structure models
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Shirakawa model
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Lévy process
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probability density
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0.8089580535888672
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0.8079097270965576
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0.8012936115264893
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0.7919043302536011
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0.7869129180908203
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