A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds (Q2309261)
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scientific article; zbMATH DE number 7183959
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| English | A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds |
scientific article; zbMATH DE number 7183959 |
Statements
A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds (English)
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30 March 2020
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fractional Vasicek model
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short-range dependence
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zero-coupon bonds
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European option
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0.8220582604408264
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0.8189449310302734
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0.8122183680534363
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0.8014674186706543
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0.7966688871383667
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