Abstract
This paper derives the analytic solutions of the pure discount bond price under the various types of -stable Levy process. It is well-known that only a few cases in-stable Levy process have the moment generating function. This paper extends the model to damped-stable Levy processes, which have artificial stable process with the moment generating function. This paper also extends models to stochastic volatility by time change method of Levy process.
Keywords
Citation
Rhee, J.H. and Park, S.C. (2010), "The Term Structure Model under the α-Stable Levy Process", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 18 No. 1, pp. 77-100. https://doi.org/10.1108/JDQS-01-2010-B0003
Publisher
:Emerald Publishing Limited
Copyright © 2010 Emerald Publishing Limited
License
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