An interest rate model with a Markovian mean reverting level

DOI10.1080/14697688.2002.0000012zbMath1405.91661OpenAlexW1996245609MaRDI QIDQ4647230

Robert J. Elliott, Rogemar S. 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

interest rateVasicek modelcontinuous-time finite-state Markov chainbond price solution

Mathematics Subject Classification ID

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

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