The Continuous-Time Ehrenfest Process in Term Structure Modelling

DOI10.1239/jap/1285335404zbMath1202.91334arXiv1003.6042OpenAlexW1973916518MaRDI QIDQ4933194

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Publication date: 12 October 2010

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.6042

zbMATH Keywords

term structureVasicek modelshort rateinterest rate derivativezero-coupon bondEhrenfest model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Orthogonal polynomials and functions associated with root systems (33C52) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Cites Work

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