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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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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
Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion
Stochastics, 2022Xiuwei Yin
exaly
Statistical inference for Vasicek-type model driven by Hermite processes
Stochastic Processes and Their Applications, 2019Ivan Nourdin
exaly
Statistical properties of parameter estimators in the fractional Vasicek model
2019openaire +1 more source