Interest rate derivatives for the fractional Cox-Ingersoll-Ross model

DOI10.3233/AF-220467zbMATH Open1544.91311MaRDI QIDQ6597649FDOQ6597649

Authors: Jaya P. N. Bishwal 

Publication date: 3 September 2024

Published in: Algorithmic Finance (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo methodstochastic volatilityinterest rateaffine modelsbond pricefractional Heston modelfractional Cox-Ingersoll-Ross modelWick-Itô stochastic differential equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fractional derivatives and integrals (26A33) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• The pricing of options and corporate liabilities
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• Title not available (Why is that?)
• Parameter estimation in stochastic differential equations.
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• Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process
• Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
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• Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process
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• The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion
• Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
• A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1)

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