A volatility-varying and jump-diffusion Merton type model of interest rate risk (Q2507948)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A volatility-varying and jump-diffusion Merton type model of interest rate risk |
scientific article |
Statements
A volatility-varying and jump-diffusion Merton type model of interest rate risk (English)
0 references
5 October 2006
0 references
Lévy processes
0 references
Merton model
0 references
jump-diffusion models
0 references
interest rate
0 references
