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.
SMALL NOISE EXPANSION FOR THE LÉVY PERTURBED VASICEK MODEL
DI PERSIO, Luca
;Francesco Cordoni
2015-01-01
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.
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