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.

引用

页码：53 / 66

页数：14

共 50 条

[41] Maximum Likelihood Estimation of the Cox-Ingersoll-Ross Model Using Particle Filters
De Rossi, Giuliano
[J]. COMPUTATIONAL ECONOMICS, 2010, 36 (01) : 1 - 16
[42] Valuing Multirisk Catastrophe Reinsurance Based on the Cox-Ingersoll-Ross (CIR) Model
Chao, Wen
[J]. DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2021, 2021
[43] Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model
Mishura, Yuliia
Munchak, Yevheniia
[J]. MODERN STOCHASTICS-THEORY AND APPLICATIONS, 2016, 3 (01): : 1 - 17
[44] Some Bernstein processes similar to Cox-Ingersoll-Ross ones
Houda, Mohamad
Lescot, Paul
[J]. STOCHASTICS AND DYNAMICS, 2019, 19 (06)
[45] Irreversible investment with Cox-Ingersoll-Ross type mean reversion
Ewald, Christian-Oliver
Wang, Wen-Kai
[J]. MATHEMATICAL SOCIAL SCIENCES, 2010, 59 (03) : 314 - 318
[46] A GENERALIZED COX-INGERSOLL-ROSS EQUATION WITH GROWING INITIAL CONDITIONS
Goldstein, Gisele Ruiz
Goldstein, Jerome A.
Mininni, Rosa Maria
Romanelli, Silvia
[J]. DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES S, 2020, 13 (05): : 1513 - 1528
[47] A NONAUTONOMOUS COX-INGERSOLL-ROSS EQUATION WITH GROWING INITIAL CONDITIONS
Goldstein, Gisele Ruiz
Goldstein, Jerome A.
Mininni, Rosa Maria
Romanelli, Silvia
[J]. DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES S, 2022, 15 (12): : 3689 - 3698
[48] Cox-Ingersoll-Ross债券定价模型的推广
郭君默
李时银
潘素娟
[J]. 厦门大学学报(自然科学版), 2009, 48 (05) : 644 - 647
[49] Down-Side Risk Probability Minimization Problem with Cox-Ingersoll-Ross's Interest Rates
Hata, Hiroaki
[J]. ASIA-PACIFIC FINANCIAL MARKETS, 2011, 18 (01) : 69 - 87
[50] Parameter Estimation for Discretely Observed Cox-Ingersoll-Ross Model with Small Levy Noises
Wei, Chao
[J]. ENGINEERING LETTERS, 2019, 27 (03) : 631 - 638

← 1 2 3 4 5 →