Term Structure Models Driven by General Lévy Processes
As a generalization of the Gaussian Heath-Jarrow-Morton term structure model, we present a new class of bond price models that can be driven by a wide range of Lévy processes. We deduce the forward and short rate processes implied by this model and prove that, under certain assumptions, the short rate is Markovian if and only if the volatility structure has either the Vasicek or the Ho-Lee form. Finally, we compare numerically forward rates and European call option prices in a model driven by a hyperbolic Lévy motion with those in the Gaussian model. Copyright Blackwell Publishers Inc 1999.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 9 (1999)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 |
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0960-1627|
When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:9:y:1999:i:1:p:31-53. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.