Stochastic volatility corrections for bond pricing in the fractional Vasicek model

zbMATH Open1277.91179MaRDI QIDQ2862628FDOQ2862628

Authors: K. Narita 

Publication date: 18 November 2013

Published in: Far East Journal of Theoretical Statistics (Search for Journal in Brave)

Full work available at URL: http://www.pphmj.com/abstract/7789.htm

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zbMATH Keywords

fractional Brownian motionsingular perturbationstochastic volatilityinterest rateVasicek modelbond pricefractional Orenstein-Uhlenbeck process

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Singular perturbations in context of PDEs (35B25) Stochastic integrals (60H05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80)

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• A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds
• Corporate bond pricing model with stochastically volatile firm value process
• Conditional distributions of processes related to fractional Brownian motion

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