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...
Main Author: | Dr A. M. Udoye |
---|---|
Format: | Article |
Language: | English |
Published: |
Fountain University Osogbo
2023-09-01
|
Series: | Fountain Journal of Natural and Applied Sciences (FUJNAS) |
Subjects: | |
Online Access: | https://www.fountainjournals.com/index.php/FUJNAS/article/view/464 |
Similar Items
-
Extension of Short Rate Model Under a Lévy Process
by: Dr A. M. Udoye
Published: (2023-09-01) -
Pricing with Variance Gamma Information
by: Lane P. Hughston, et al.
Published: (2020-10-01) -
Optimal mean-variance investment and reinsurance strategies with a general Lévy process risk model
by: Haoran Yi, et al.
Published: (2024-12-01) -
Introductory lectures on fluctuations of Levy processes with applications /
by: 326434 Kyprianou, Andreas E.
Published: (2006) -
Residue Sum Formula for Pricing Options under the Variance Gamma Model
by: Pedro Febrer, et al.
Published: (2021-05-01)