Bond pricing under mixed generalized CIR model with mixed Wishart volatility process
DOI10.1016/J.CAM.2016.12.039zbMATH Open1358.91099OpenAlexW2576905463MaRDI QIDQ515757FDOQ515757
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
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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)
Cites Work
- A theory of the term structure of interest rates
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- Fractional Brownian Motions, Fractional Noises and Applications
- Arbitrage in fractional Brownian motion models
- The pricing of credit default swaps under a generalized mixed fractional Brownian motion
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- Title not available (Why is that?)
- Wishart processes
- Option pricing when correlations are stochastic: an analytical framework
- Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
- Derivative pricing with Wishart multivariate stochastic volatility
- Mixed fractional Brownian motion
- Maximum likelihood type estimation for discretely observed CIR model with small \(\alpha\)-stable noises
- On the mixed fractional Brownian motion
- Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump
- Pricing of spread options on stochastically correlated underlyings
- Pricing American put option on zero-coupon bond in a jump-extended CIR model
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
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