Objective call option price behaviour of the bond with interest rate driven by geometric fractional Ornstein-Uhlenbeck process

zbMATH Open1289.91172MaRDI QIDQ5745981FDOQ5745981

Authors: G. R. Rizhnyak, Yuliya S. Mishura 

Publication date: 17 February 2014

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zbMATH Keywords

European call optionHurst indexgeometric fractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22)

Cited In (2)

• Stability analysis for pricing European options regarding the interest rate generated by the time fractional Cox-Ingersoll-Ross processes
• European call option issued on a bond governed by a geometric or a fractional geometric Ornstein-Uhlenbeck process

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