Extension of Short Rate Model Under a Lévy Process
A lot of abnormalities occur in real-life scenarios, thus leading to some difficulties in modelling such scenarios without a deeper understanding of certain aspects of Lévy processes. In this paper, the short rate model of Hull-White (1990) is extended to a model for capturing possibilities of jump...
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| Hlavní autor: | |
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| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
Fountain University Osogbo
2023-09-01
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| Edice: | Fountain Journal of Natural and Applied Sciences (FUJNAS) |
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| On-line přístup: | https://www.fountainjournals.com/index.php/FUJNAS/article/view/464 |
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