A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility

DOI10.1016/J.PHYSA.2018.02.187OpenAlexW2792395171WikidataQ130144337 ScholiaQ130144337MaRDI QIDQ2149649FDOQ2149649

Authors: Bonggyun Ko, Jae Wook Song 

Publication date: 29 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2018.02.187

zbMATH Keywords

stochastic volatilityinterest rateterm structuresnoise enhanced stabilitymean escape time

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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