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 shortrate term structure Vasicek model zero-coupon bond |
URI: | http://hdl.handle.net/2003/26455 http://dx.doi.org/10.17877/DE290R-14157 |
Issue Date: | 2009-10-20T08:43:41Z |
Appears in Collections: | Preprints der Fakultät für Mathematik |
Files in This Item:
File | Description | Size | Format | |
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mathematicalPreprint12-09.pdf | 389.63 kB | Adobe PDF | View/Open |
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