European pricing options under jump-fraction process in the fractional Hull-White interest rate model

DOI10.3969/J.ISSN.1001-8735.2020.02.008MaRDI QIDQ5127733zbMATH OpenFDO

Authors Pian Liu, Yimeng Zhu, Jin-Liang Zhang

Publication date 27 October 2020

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-8735.2020.02.008

zbMATH Keywords

fractional Hull-White interest rate modeljump-fraction processoption pricingpartial differential equation method

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• scientific article; zbMATH DE number 6672152

Cited in

(2)

• Pricing formulae for European options under the fractional Vasicek interest rate model
• European option pricing when the riskfree interest rate follows a jump process

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