Bond and option prices under skew Vasicek model with transaction cost

DOI10.1155/2021/9920240MaRDI QIDQ6484417zbMATH OpenFDO

Authors H. Samimi, Alireza Najafi

Publication date 24 January 2022

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2021/9920240

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(1)

• Skew CIR process, conditional characteristic function, moments and bond pricing

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