Explosion in the quasi-Gaussian HJM model

Pirjol, D; Zhu, LJ

Zhu, LJ (reprint author), Florida State Univ, Dept Math, 1017 Acad Way, Tallahassee, FL 32306 USA.

FINANCE AND STOCHASTICS, 2018; 22 (3): 643

Abstract

We study the explosion of the solutions of the SDE in the quasi-Gaussian HJM model with a CEV-type volatility. The quasi-Gaussian HJM models are a pop......

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