Stochastic volatility corrections for bond pricing in the fractional Vasicek model (Q2862628)
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scientific article; zbMATH DE number 6228339
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| English | Stochastic volatility corrections for bond pricing in the fractional Vasicek model |
scientific article; zbMATH DE number 6228339 |
Statements
18 November 2013
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interest rate
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bond price
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Vasicek model
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stochastic volatility
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fractional Orenstein-Uhlenbeck process
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fractional Brownian motion
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singular perturbation
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Stochastic volatility corrections for bond pricing in the fractional Vasicek model (English)
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0.8122183680534363
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0.8083904981613159
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0.7834324240684509
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0.7741271257400513
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0.7680149674415588
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