An interest rate model with upper and lower bounds

DOI10.1023/A:1024125430287zbMath1071.91020MaRDI QIDQ1421690

Freddy Delbaen, Hiroshi Shirakawa

Publication date: 3 February 2004

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

zbMATH Keywords

Jacobi polynomials; numerical computation; Beta distribution; bounded state space; discount bond price

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91G30: Interest rates, asset pricing, etc. (stochastic models)

12E10: Special polynomials in general fields