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Showing 1 to 1 of 1 for “"stochastic discontinuities"”.
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Interest-Rate Option Pricing Accounting For Jumps At Deterministic Times
… nature towards models that can account for discontinuities in the short rate. These are more representative of real world movements where the short rate is seen to jump due to current and scheduled market information. This dissertation examines this phenomenon in the context of a Vasicek …