Rational term structure models with geometric Lévy martingales
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Publication:3145086
DOI10.1080/17442508.2012.689835zbMath1258.91211arXiv1012.1793WikidataQ62272438 ScholiaQ62272438MaRDI QIDQ3145086
Dorje C. Brody, Ewan MacKie, Lane P. Hughston
Publication date: 13 December 2012
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1012.1793
60G51: Processes with independent increments; Lévy processes
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST, THE AFFINE RATIONAL POTENTIAL MODEL, Randomised mixture models for pricing kernels
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