Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost

DOI10.1080/03610918.2017.1295153OpenAlexW2590781389MaRDI QIDQ5084750FDOQ5084750

Authors:

Publication date: 28 June 2022

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2017.1295153

zbMATH Keywords

American put optionzero-coupon bondLeland's hedging strategyFCIR interest rate model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• A theory of the term structure of interest rates
• Fractional Brownian Motions, Fractional Noises and Applications
• A general version of the fundamental theorem of asset pricing
• Arbitrage in fractional Brownian motion models
• Long range dependence in financial markets
• Arbitrage with Fractional Brownian Motion
• An algorithmic introduction to numerical simulation of stochastic differential equations
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• Tolerance to arbitrage
• On Leland's strategy of option pricing with transactions costs
• Arbitrage opportunities for a class of Gladyshev processes

Cited In (3)

• Pricing American put option on zero-coupon bond in a jump-extended CIR model
• A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1)
• Analyzing short-rate models for efficient bond option pricing: a review

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