Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump

DOI10.1016/J.SPL.2006.08.022zbMath1284.91543OpenAlexW2075169510MaRDI QIDQ886317

Hsien-Jen Lin, Ching-Sung Chou

Publication date: 26 June 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.08.022

zbMATH Keywords

resolventMarkov processesBessel functionsBessel-squared processes with jumpsCIR processeszero coupon bonds

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Hedging processes for catastrophe options ⋮ On the distribution of extended CIR model ⋮ Bond pricing under mixed generalized CIR model with mixed Wishart volatility process

Cites Work

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• Asian options with jumps
• Mathematics of financial markets
• Embedding a stochastic difference equation into a continuous-time process
• Two singular diffusion problems
• A Theory of the Term Structure of Interest Rates
• A decomposition of Bessel Bridges
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

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