Article ID Journal Published Year Pages File Type
1154049 Statistics & Probability Letters 2007 8 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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