On the extension of Longstaff and Evans-Keef-Okunev models related to the pricing of zero-coupon bonds

被引：0
|
作者：
Negrea, Romeo [1 ]
机构：
[1] Politehn Univ Timisoara, Dept Math, P Ta Regina Maria 1, Timisoara 300004, Romania
来源：
ANNALS OF THE UNIVERSITY OF CRAIOVA-MATHEMATICS AND COMPUTER SCIENCE SERIES | 2005年 / 32卷
关键词：
stochastic differential equation of McShane's type; financial modelling; pricing of zero-coupon bonds;
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We obtain the term structure of interest rate of a zero-coupon bond and we extend two classical models - the model of Longstaff and the model of Evans-Keef-Okunev, using the McShane stochastic calculus.
引用
收藏
页码：207 / 213
页数：7
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