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

MaRDI QIDQ5745981zbMATH OpenFDO

Authors G. R. Rizhnyak, Yuliya S. Mishura

Publication date 17 February 2014

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)

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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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