Extension of Short Rate Model Under a Lévy Process
| Autor: | Dr A. M. Udoye |
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| Jazyk: | angličtina |
| Rok vydání: | 2023 |
| Předmět: | |
| Zdroj: | Fountain Journal of Natural and Applied Sciences (FUJNAS), Vol 12, Iss 2 (2023) |
| Druh dokumentu: | article |
| ISSN: | 2350-1863 2354-337X |
| Popis: | A lot of abnormalities occur in real-life scenarios, thus leading to some difficulties in modelling such scenarios without a deeper understanding of certain aspects of Lévy processes. In this paper, the short rate model of Hull-White (1990) is extended to a model for capturing possibilities of jumps in real-life situations using a class of Lévy processes called a variance gamma process. Mathematics Subject Classification (2020). 91G30, 62P05 Keywords: Lévy processes, Brownian motion, Hull-White model, Variance gamma process |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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