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

DOI10.1080/03610918.2017.1295153MaRDI QIDQ5084750zbMATH OpenOpenAlexFDO

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

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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