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

zbMATH Open1389.91110MaRDI QIDQ3132428FDOQ3132428

Authors: Jingjun Guo, Yafang Zhang 

Publication date: 29 January 2018

Recommendations

• Pricing formulae for European options under the fractional Vasicek interest rate model
• scientific article; zbMATH DE number 6672152
• Mellin transform method for European option pricing under sub-fractional stochastic interest rate model
• scientific article; zbMATH DE number 6672031
• The valuation of European option under subdiffusive fractional Brownian motion of the short rate

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)

Cited In (14)

• Mellin transform method for European option pricing under sub-fractional stochastic interest rate model
• Pricing formulae for European options under the fractional Vasicek interest rate model
• Title not available (Why is that?)
• A new generalized European option pricing model and the properties
• A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds
• European pricing options under jump-fraction process in the fractional Hull-White interest rate model
• Option pricing under default risk based on fractional Ho-Lee stochastic interest rate model
• The valuation of European option under subdiffusive fractional Brownian motion of the short rate
• Bond and option prices under skew Vasicek model with transaction cost
• Title not available (Why is that?)
• Asset pricing and simulation analysis based on mixed Gaussian process and jump environment with transaction costs
• The sub-fractional CEV model
• Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level
• Objective call option price behaviour of the bond with interest rate driven by geometric fractional Ornstein-Uhlenbeck process

This page was built for publication: European option pricing under sub-fractional Vasicek stochastic interest rate model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3132428)