A Feynman-Kac type formula for a fixed delay CIR model

DOI10.1080/07362994.2019.1592691zbMath1416.91384arXiv1806.00997OpenAlexW2964119916WikidataQ128121254 ScholiaQ128121254MaRDI QIDQ5378408

Federico Flore, Giovanna Nappo

Publication date: 12 June 2019

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.00997

zbMATH Keywords

equivalent martingale measureinterest rate modelstochastic delay differential equationsgeneralized Bessel-square processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic functional-differential equations (34K50)

Related Items (1)

Strong convergence rate of implicit Euler scheme to a CIR model with delay

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• Pricing Interest-Rate-Derivative Securities

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