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

DOI10.1016/J.CAM.2016.12.039MaRDI QIDQ515757zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A theory of the term structure of interest rates
• Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
• Arbitrage in fractional Brownian motion models
• Derivative pricing with Wishart multivariate stochastic volatility
• Fractional Brownian Motions, Fractional Noises and Applications
• Maximum likelihood type estimation for discretely observed CIR model with small \(\alpha\)-stable noises
• Mixed fractional Brownian motion
• On the mixed fractional Brownian motion
• Option pricing when correlations are stochastic: an analytical framework
• Pricing American put option on zero-coupon bond in a jump-extended CIR model
• Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump
• Pricing of spread options on stochastically correlated underlyings
• The pricing of credit default swaps under a generalized mixed fractional Brownian motion
• Wishart processes

Cited in

(7)

• Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
• Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model
• Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences
• A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds
• Mixed fractional Heston model and the pricing of American options
• American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis
• Vasicek interest rate model under Lévy process and pricing bond option

Describes a project that uses

Uses Software

• Mathematica

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