Stochastic volatility corrections for bond pricing in the fractional Vasicek model

MaRDI QIDQ2862628zbMATH OpenFDO

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

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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(3)

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• Corporate bond pricing model with stochastically volatile firm value process
• Conditional distributions of processes related to fractional Brownian motion

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