European pricing options under jump-fraction process in the fractional Hull-White interest rate model (Q5127733)
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scientific article; zbMATH DE number 7266844
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| English | European pricing options under jump-fraction process in the fractional Hull-White interest rate model |
scientific article; zbMATH DE number 7266844 |
Statements
27 October 2020
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fractional Hull-White interest rate model
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jump-fraction process
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option pricing
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partial differential equation method
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0.8858675360679626
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0.8240531086921692
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0.8216227293014526
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0.8181806206703186
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