Objective call option price behaviour of the bond with interest rate driven by geometric fractional Ornstein-Uhlenbeck process (Q5745981)
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scientific article; zbMATH DE number 6258491
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| English | Objective call option price behaviour of the bond with interest rate driven by geometric fractional Ornstein-Uhlenbeck process |
scientific article; zbMATH DE number 6258491 |
Statements
17 February 2014
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European call option
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geometric fractional Ornstein-Uhlenbeck process
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Hurst index
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0.8804084658622742
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0.7700256109237671
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0.7606318593025208
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0.7602022886276245
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