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Valuation of Bid and Ask Prices for Cap and Floor Contracts In a Fractional Vasicek Model
SSRN Electronic Journal, 2018This paper derives bid and ask formulas for cap and floor contracts by using Wang trans- form under fractional version of the Vasicek interest rate model. To do this, first the parameters of the model are estimated by MLE calibration method, then standard and fractional version of the Vasicek model are compared by the Akaike information criterion ...
Ali Reza Najaf +2 more
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Interest rate options in one-factor mixed modified fractional Vasicek model
International Journal of Financial EngineeringThis paper introduces an innovative interest rate model in which the dynamics of each factor influencing the underlying short-term interest rate is described using a mixed modified fractional Vasicek framework. The study focuses on (a) formulating the short-term interest rate model and identifying its key parameters, including expectations, variance ...
Eric Djeutcha +2 more
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Fractional Vasicek Model in Financial Mathematics
2021 IEEE International Conference on Technology, Research, and Innovation for Betterment of Society (TRIBES), 2021openaire +1 more source
Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion
Stochastics, 2021Guangjun Shen, Zheng Tang, Xiuwei Yin
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Calibrating fractional Vasicek model
Communications in Statistics - Theory and Methods, 2023Yuecai Han
exaly
A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model
Computational Economics, 2022Hassen Arfaoui
exaly
ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL
Econometric Theory, 2019Jun Yu
exaly
Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion
Stochastics, 2022exaly