A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1) (Q5078109): Difference between revisions
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Revision as of 18:41, 5 March 2024
scientific article; zbMATH DE number 7530020
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1) |
scientific article; zbMATH DE number 7530020 |
Statements
A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1) (English)
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20 May 2022
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double barrier option
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fractional CIR model
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Euler discretization method
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strong convergence
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