IJPAM: Volume 98, No. 2 (2015)
THE LÉVY PERTURBED VASICEK MODEL
Department of Mathematics
University of Trento
Via Sommarive, 14, Trento, ITALY
Department of Computer Science
University of Verona
Strada le Grazie, 15, Verona, ITALY
Abstract. We present rigorous small noise expansion results for a Lévy perturbed Vasicek model. Estimates for the remainders as well as an application to ZCB pricing are also provided.
Received: October 27, 2014
AMS Subject Classification: 35C20, 60H15, 91G30
Key Words and Phrases: small noise expansions, stochastic differential equations, stochastic interest rate models, local volatility models, Vasicek model
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DOI: 10.12732/ijpam.v98i2.10 How to cite this paper?
Source: International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Pages: 291 -