Jump-diffusion processes and affine term structure models: additional closed-form approximate solutions, distributional assumptions for jumps, and parameter estimates
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Beliaeva, Natalia & Nawalkha, Sanjay, 2012. "Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 151-163.
- Liang, Xue & Wang, Guojing & Dong, Yinghui, 2013. "A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 373-381.
More about this item
KeywordsEconometric models ; Bonds - Prices;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-01 (All new papers)
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