An interest rate model with a Markovian mean reverting level

DOI10.1080/14697688.2002.0000012MaRDI QIDQ4647230zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Rogemar Mamon

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2002.0000012

zbMATH Keywords

bond price solutioncontinuous-time finite-state Markov chaininterest rateVasicek model

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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