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Bond Pricing under CIR Process with Threshold Setting.
- Source :
-
IAENG International Journal of Applied Mathematics . Aug2024, Vol. 54 Issue 8, p1649-1656. 8p. - Publication Year :
- 2024
-
Abstract
- This paper presents an examination of the conditional characteristic function, first hitting time problem and bond pricing under the CIR process with a threshold setting, also known as CIRT. To investigate the conditional characteristic function of CIRT, we solve an equation associated with the infinitesimal generator and its domain. Using a similar approach, we solve the bond pricing problem by introducing the sharpe ratio. All the results we were able to get are in closed form. Sensitive analysis is provided under various coefficients using graphical representations. [ABSTRACT FROM AUTHOR]
- Subjects :
- *BOND prices
*CHARACTERISTIC functions
*SHARPE ratio
*EQUATIONS
Subjects
Details
- Language :
- English
- ISSN :
- 19929978
- Volume :
- 54
- Issue :
- 8
- Database :
- Academic Search Index
- Journal :
- IAENG International Journal of Applied Mathematics
- Publication Type :
- Academic Journal
- Accession number :
- 178844448