Pricing formulae for European options under the fractional Vasicek interest rate model (Q4900475)
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scientific article; zbMATH DE number 6129000
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| English | Pricing formulae for European options under the fractional Vasicek interest rate model |
scientific article; zbMATH DE number 6129000 |
Statements
24 January 2013
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fractional Brownian motion
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fractional Vasicek model
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zero coupon bond
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option pricing
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0.8954156637191772
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0.8858675360679626
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