Results 11 to 20 of about 129 (88)

Asymptotic Properties of Parameter Estimators in~Vasicek Model Driven by Tempered Fractional Brownian Motion [PDF]

Austrian Journal of Statistics
The paper focuses on the Vasicek model driven by a tempered fractional Brownian motion. We derive the asymptotic distributions of the least-squares estimators (based on continuous-time observations) for the unknown drift parameters. This work continues
Yuliya Mishura, Kostiantyn Ralchenko, Olena Dehtiar   +2 more
doaj   +6 more sources

Pricing for a vulnerable bull spread options using a mixed modified fractional Hull–White–Vasicek model

Annals of Operations Research, 2022
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Eric Djeutcha, Jules Sadefo Kamdem
exaly   +6 more sources

Least Squares Estimator for Vasicek Model Driven by Fractional Levy Processes

JOURNAL OF ADVANCES IN MATHEMATICS, 2018
In this paper, we consider parameter estimation problem for Vasicek model driven by fractional lévy processes defined We construct least squares estimator for drift parameters based on time?continuous observations, the consistency and asymptotic distribution of these estimators are studied in the non?ergodic case.
Qingbo Wang, Xiuwei Yin
openaire   +4 more sources

Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models [PDF]

Abstract and Applied Analysis, 2014
Option pricing is always one of the critical issues in financial mathematics and economics. Brownian motion is the basic hypothesis of option pricing model, which questions the fractional property of stock price. In this paper, under the assumption that
Kaili Xiang, Yindong Zhang, Xiaotong Mao
doaj   +2 more sources

Bid and Ask spreads for the cap and floor contracts under the Liouville fractional Vasicek model

Studies of Applied Economics, 2021
This paper presents bid and ask formulas for cap and floor contracts prices byusing Wang transform under a Liouville fractional Vasicek (LfVasicek) interest rate model. To do this, the parameters of the model are calibrated by using the Newton-Raphson (NR) method.
Mehrdoust, Farshid
openaire   +2 more sources

ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL

Econometric Theory, 2018
This article develops an asymptotic theory for estimators of two parameters in the drift function in the fractional Vasicek model when a continuous record of observations is available. The fractional Vasicek model with long-range dependence is assumed to be driven by a fractional Brownian motion with the Hurst parameter greater than or equal to one ...
XIAO, Weilin, YU, Jun
openaire   +6 more sources

Pricing Credit Default Swap under Fractional Vasicek Interest Rate Model

Journal of Mathematical Finance, 2014
This paper discusses the pricing problem of credit default swap in the fractional Brownian motion environment. As credit default swap is exposed to both the interest rate risk and the default risk, we assume that the default intensity of a firm depends on the stochastic interest rate and the default states of counterparty firms.
Ruili Hao, Yonghui Liu, Shoubai Wang
openaire   +4 more sources

Estimating Drift Parameters in a Sub-Fractional Vasicek-Type Process. [PDF]

Entropy (Basel), 2022
Khalaf AD, Saeed T, Abu-Shanab R, Almutiry W, Abouagwa M.   +4 more
europepmc   +2 more sources

Valuing European Option Under Double 3/2-Volatility Jump-Diffusion Model With Stochastic Interest Rate and Stochastic Intensity Under Approximative Fractional Brownian Motion

International Journal of Analysis and Applications, 2023
In this study, we propose a more comprehensive and realistic option pricing model based on approximative fractional Brownian motion, building upon recent advancements in this area.
Siham Bayad, Abdelmajid El Hajaj, Khalid Hilal   +2 more
doaj   +1 more source

Asian option pricing under sub-fractional vasicek model

Quantitative Finance and Economics, 2023
<abstract><p>This paper investigates the pricing formula for geometric Asian options where the underlying asset is driven by the sub-fractional Brownian motion with interest rate satisfying the sub-fractional Vasicek model. By applying the sub-fractional $ {\rm{It\hat o}} $ formula, the Black-Scholes (B-S) type Partial Differential ...
Lichao Tao, Yuefu Lai, Yanting Ji, Xiangxing Tao   +3 more
openaire   +2 more sources