Objective call option price behaviour of the bond with interest rate driven by geometric fractional Ornstein-Uhlenbeck process (Q5745981)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6258491
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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
0 references
European call option
0 references
geometric fractional Ornstein-Uhlenbeck process
0 references
Hurst index
0 references
0.8804084658622742
0 references
0.7700256109237671
0 references
0.7606318593025208
0 references
0.7602022886276245
0 references
