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

被引：0
|
作者：
Bishwal, Jaya P. N. [1 ]
机构：
[1] Univ N Carolina, Dept Math & Stat, Charlotte, NC USA
来源：
ALGORITHMIC FINANCE | 2023年 / 10卷 / 1-2期
关键词：
Wick-Ito stochastic differential equation; affine models; fractional Cox-Ingersoll-Ross model; interest rate; bond price; fractional Heston model; stochastic volatility; Monte Carlo method; LONG-RANGE DEPENDENCE; LIMIT-THEOREMS; TERM STRUCTURE; MEMORY; DISTRIBUTIONS; OPTION;
D O I：
10.3233/AF-220467
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We obtain the bond price formula for the fractional Cox-Ingersoll-Ross model. Then we obtain option price formula for the bond. Finally we apply it to derive option price formula in fractional Heston model.
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页码：53 / 66
页数：14
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