Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment

  1. López, O.
  2. Oleaga, G.
  3. Sánchez, A.
Zeitschrift:
Applied Mathematics and Computation

ISSN: 0096-3003

Datum der Publikation: 2021

Ausgabe: 395

Art: Artikel

DOI: 10.1016/J.AMC.2020.125854 GOOGLE SCHOLAR