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Small noise expansion for the Lévy perturbed Vasicek model

International Journal of Pure and Applied Mathematics (2015) 98(2) 291-301
DOI: 10.12732/ijpam.v98i2.10
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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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APA

Cordoni, F., & Di Persio, L. (2015). Small noise expansion for the Lévy perturbed Vasicek model. International Journal of Pure and Applied Mathematics, 98(2), 291–301. https://doi.org/10.12732/ijpam.v98i2.10

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