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Quantitative Finance Volume 23, 2023 - Issue 2
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Research Papers

Asymmetric short-rate model without lower bound

Frédéric Vrins† LFIN/LIDAM, UCLouvain, Voie du Roman Pays 34, Louvain-la-NeuveB-1348, Belgium;‡ Department of Decision Science, HEC Montréal, Montréal, QCH3T 2A7, CanadaORCID Iconhttps://orcid.org/0000-0003-1941-0416View further author information
ORCID Icon &
Linqi Wang§ Faculty of Economics, University of Cambridge, Austin Robinson Building, Sidgwick Avenue, CambridgeCB3 9DD, UKCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-8197-7168View further author information
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Pages 279-295 | Received 20 Sep 2021, Accepted 02 Dec 2022, Published online: 21 Dec 2022

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