Bo, Lijun; Li, Xindan; Wang, Yongjin; Yang, Xuewei - In: Quantitative Finance 13 (2013) 12, pp. 1967-1975
<title>Abstract</title>In this paper, we introduce tractable dynamic models for financial variables (such as interest rates, foreign exchange rates, commodity prices, etc.) with capturing both jump risk and boundedness of the price fluctuation in a regulated market. For the jump risk, we use a compound Poisson...