Bond pricing under mixed generalized CIR model with mixed Wishart volatility process

DOI10.1016/j.cam.2016.12.039zbMath1358.91099OpenAlexW2576905463MaRDI QIDQ515757

Yong-Cai Geng, Sumit K. Garg

Publication date: 16 March 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.12.039

zbMATH Keywords

fractional Brownian motionCIR modelWishart processzero-coupon bond

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Generalizations of martingales (60G48) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

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Uses Software

• Mathematica

Cites Work

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