A volatility-varying and jump-diffusion Merton type model of interest rate risk (Q2507948)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A volatility-varying and jump-diffusion Merton type model of interest rate risk |
scientific article; zbMATH DE number 5060807
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A volatility-varying and jump-diffusion Merton type model of interest rate risk |
scientific article; zbMATH DE number 5060807 |
Statements
A volatility-varying and jump-diffusion Merton type model of interest rate risk (English)
0 references
5 October 2006
0 references
Lévy processes
0 references
Merton model
0 references
jump-diffusion models
0 references
interest rate
0 references
0.7697402238845825
0 references
0.7627770900726318
0 references
0.754553496837616
0 references
0.7517789602279663
0 references
0.7512291073799133
0 references
