Vasicek interest rate model under Lévy process and pricing bond option

DOI10.1080/03610918.2022.2025837MaRDI QIDQ6544968FDOQ6544968

Authors: Farshid Mehrdoust 

Publication date: 28 May 2024

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial science and mathematical finance (91Gxx)

Cites Work

• A jump-diffusion model for option pricing
• An equilibrium characterization of the term structure
• Pricing interest-rate-derivative securities
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Variance Gamma Process and Option Pricing
• Financial factors, macroeconomic information and the expectations theory of the term structure of interest rates
• Interest rate models -- theory and practice
• Perpetual American Options Under Lévy Processes
• Stochastic differential equations. An introduction with applications.
• Bond pricing under mixed generalized CIR model with mixed Wishart volatility process
• Introduction to probability models
• Continuous-time asset pricing theory. A martingale-based approach
• On the theory of the Brownian motion.
• A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1)

Cited In (1)

• Analyzing short-rate models for efficient bond option pricing: a review

This page was built for publication: Vasicek interest rate model under Lévy process and pricing bond option

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6544968)