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"Markov-modulated jump-diffusion models for the short rate: Pricing of zero ..."

Oscar López, Gerardo Oleaga, Alejandra Sánchez (2021)

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DOI: 10.1016/J.AMC.2020.125854

access: closed

type: Journal Article

metadata version: 2022-10-02

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Oscar López, Gerardo Oleaga, Alejandra Sánchez:
Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment. Appl. Math. Comput. 395: 125854 (2021)

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