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1 – 1 of 1Joon Hee Rhee and Soo Chun Park
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…
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.
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