Skew CIR process, conditional characteristic function, moments and bond pricing
From MaRDI portal
Publication:2318215
DOI10.1016/j.amc.2018.02.013zbMath1427.60168OpenAlexW2790812234MaRDI QIDQ2318215
Publication date: 14 August 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2018.02.013
momentconditional characteristic functionskew CIR processFeller branching processzero coupon bond pricing
Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Local time and additive functionals (60J55)
Related Items (3)
Time-inhomogeneous Feller-type diffusion process with absorbing boundary condition ⋮ On some properties of sticky Brownian motion ⋮ A Markov chain approximation scheme for option pricing under skew diffusions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
- Weak existence of the squared Bessel and CIR processes with skew reflection on a deterministic time-dependent curve
- On the constructions of the skew Brownian motion
- On skew Brownian motion
- Diffusion models for population dynamics incorporating individual behavior at boundaries: Applications to refuge design
- Diffusion processes on graphs and the averaging principle
- Skew Ornstein-Uhlenbeck processes and their financial applications
- Asymmetric skew Bessel processes and their applications to finance
- A Theory of the Term Structure of Interest Rates
- Multi-skewed Brownian motion and diffusion in layered media
- SELF EXCITING THRESHOLD INTEREST RATES MODELS
- Stochastic Calculus
- An equilibrium characterization of the term structure
- A Generalized Taylor–Aris Formula and Skew Diffusion
This page was built for publication: Skew CIR process, conditional characteristic function, moments and bond pricing
