IJAM: Volume 37, No. 2 (2024)

DOI: 10.12732/ijam.v37i2.8

 

GENERALIZATION OF A

VARIANCE-GAMMA-DRIVEN

INTEREST RATE DERIVATIVE

A. M. Udoye 1,§ , M. F. Salami 2

 

1 Department of Mathematics

Federal University Oye-Ekiti

Ekiti, P.M.B. 373, NIGERIA

2 Department of Mathematics

University of Arkansas-Pulaski Technical College

North Little Rock, Arkansas, AR 72118, USA

 

Abstract.  We derive a generalized Vasicek short rate model under a variance gamma Levy process by applying Ito lemma, and use the derived model to obtain a generalized interest rate derivative motivated by the variance gamma process.

 

 

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How to cite this paper?
DOI: 10.12732/ijam.v3
7i2.8
Source: 
International Journal of Applied Mathematics
ISSN printed version: 1311-1728
ISSN on-line version: 1314-8060
Year: 202
4
Volume: 3
7
Issue: 2

 

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