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

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/33647

Title:	Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump
Authors:	Chou,Ching-Sung;Lin,Hsien-Jen
Contributors:	數學研究所
Date:	2007
Issue Date:	2010-07-07 11:40:33 (UTC+8)
Publisher:	中央大學
Abstract:	This paper is concerned with finding the distribution of a squared Bessel process run for an exponentially distributed time and applying this result to find the price of a zero coupon bond at time zero when the pricing model involves a squared Bessel inte
Relation:	STATISTICS & PROBABILITY LETTERS
Appears in Collections:	[Graduate Institute of Mathematics] journal & Dissertation

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