Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154049 | Statistics & Probability Letters | 2007 | 8 Pages |
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
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Ching-Sung Chou, Hsien-Jen Lin,