Continuous time Ehrenfest process in term structure modelling

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dc.contributor.authorKaplun, Alexander
dc.date.accessioned2009-10-20T08:43:41Z
dc.date.available2009-10-20T08:43:41Z
dc.date.issued2009-10-20T08:43:41Z
dc.description.abstractIn 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.en
dc.identifier.urihttp://hdl.handle.net/2003/26455
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-14157
dc.language.isoen
dc.relation.ispartofseriesPreprints der Fakultät für Mathematik ; 2009-12de
dc.subjectEhrenfest modelen
dc.subjectinterest rate derivativesen
dc.subjectshortrateen
dc.subjectterm structureen
dc.subjectVasicek modelen
dc.subjectzero-coupon bonden
dc.subject.ddc610
dc.titleContinuous time Ehrenfest process in term structure modellingen
dc.typeTextde
dc.type.publicationtypepreprinten
dcterms.accessRightsopen access

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