Authors: Kaplun, Alexander
Title: Continuous time Ehrenfest process in term structure modelling
Language (ISO): en
Abstract: In this paper, a finite-state mean-reverting model for the short-rate, based on the continuous time Ehrenfest process, will be examined. Two explicit pricing formulae for zero-coupon bonds will be derived in the general and the special symmetric cases. Its limiting relationship to the Vasicek model will be examined with some numerical results.
Subject Headings: Ehrenfest model
interest rate derivatives
term structure
Vasicek model
zero-coupon bond
Issue Date: 2009-10-20T08:43:41Z
Appears in Collections:Preprints der Fakultät für Mathematik

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