Exponential martingales and CIR model

• Autorzy: Wojciech Szatzschneider
• Języki publikacji: EN

Abstrakty

EN

With the use of exponential martingales and the Girsanov theorem we show how to calculate bond prices in a large variety of square root processes. We clarify and correct several errors that abound in financial literature concerning these processes. The most important topics are linear risk premia, the Longstaff double square model, and calculations concerning correlated CIR processes.

Kategorie tematyczne

• 60G46: Martingales and classical analysis
• 60H30: Applications of stochastic analysis (to PDE, etc.)

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2008
• Tom: 83
• Numer: 1
• Strony: 243-249

Daty

wydano

2008

Twórcy

autor

Wojciech Szatzschneider

• School of Actuarial Sciences, Universidad Anahuac Mexico Norte, Mexico

Identyfikatory

DOI

10.4064/bc83-0-15