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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DOI: 10.12732/ijam.v37i2.8
Source: International Journal of Applied Mathematics
ISSN printed version: 1311-1728
ISSN on-line version: 1314-8060
Year: 2024
Volume: 37
Issue: 2
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