EconPapers    
Economics at your fingertips  
 

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

Ching-Sung Chou and Hsien-Jen Lin

Statistics & Probability Letters, 2007, vol. 77, issue 5, 475-482

Abstract: 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.

Keywords: Bessel; functions; Bessel-squared; processes; with; jumps; CIR; processes; Markov; processes; Resolvent; Zero; coupon; bonds (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(06)00267-7
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:77:y:2007:i:5:p:475-482

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:stapro:v:77:y:2007:i:5:p:475-482