Vasicek interest rate model under Lévy process and pricing bond option

DOI10.1080/03610918.2022.2025837MaRDI QIDQ6544968

Farshid Mehrdoust, Unnamed Author

Publication date: 28 May 2024

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial science and mathematical finance (91Gxx)

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