Vasicek model with mixed-exponential jumps and its applications in finance and insurance

DOI10.1186/s13662-018-1593-zzbMath1445.91065OpenAlexW2800664651WikidataQ115518866 ScholiaQ115518866MaRDI QIDQ1712117

Xue Liang, Yong-Feng Wu

Publication date: 21 January 2019

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-018-1593-z

zbMATH Keywords

Laplace transformVasicek modelEuropean put optionaggregate accumulated claimdefault-free zero-coupon bondmixed-exponential jumps

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate ⋮ Exact solutions of the two-side exit time problems for the Vasicek model ⋮ Inferring time non-homogeneous Ornstein Uhlenbeck type stochastic process

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