European option pricing under sub-fractional Vasicek stochastic interest rate model

MaRDI QIDQ3132428zbMATH OpenFDO

Authors Jingjun Guo, Yafang Zhang

Publication date 29 January 2018

zbMATH Keywords

option pricingstochastic interest ratesub-fractional Brownian motionzero coupon bond

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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