European option pricing under sub-fractional Vasicek stochastic interest rate model (Q3132428)
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scientific article; zbMATH DE number 6831847
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| English | European option pricing under sub-fractional Vasicek stochastic interest rate model |
scientific article; zbMATH DE number 6831847 |
Statements
29 January 2018
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sub-fractional Brownian motion
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zero coupon bond
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stochastic interest rate
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option pricing
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0.8954156637191772
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0.856261134147644
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