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Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump

This paper is concerned with finding the distribution of a squared Bessel process run for an exponentially distributed time and applying this result to find the price of a zero coupon bond at time zero when the pricing model involves a squared Bessel interest process and there is one jump.
Year of publication:
2007
Authors: Chou, Ching-Sung ; Lin, Hsien-Jen
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 5, p. 475-482
Publisher: Elsevier
Keywords: Bessel functions Bessel-squared processes with jumps CIR processes Markov processes Resolvent Zero coupon bonds
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10005254195
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