Results 11 to 20 of about 14,774,356 (95)

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.
Farshid Mehrdoust
exaly   +6 more sources

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

Entropy (Basel), 2022
This study deals with drift parameters estimation problems in the sub-fractional Vasicek process given by [Formula: see text] , with [Formula: see text] , [Formula: see text] being unknown and [Formula: see text]; here, [Formula: see text] represents a ...
Khalaf AD, Saeed T, Abu-Shanab R, Almutiry W, Abouagwa M.   +4 more
europepmc   +3 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
core   +4 more sources

Least Squares Estimator for Vasicek Model Driven by Fractional Levy Processes [PDF]

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   +3 more sources

Maximum likelihood estimation for sub-fractional Vasicek model

Random Operators and Stochastic Equations, 2021
Abstract We investigate the asymptotic properties of maximum likelihood estimators of the drift parameters for the fractional Vasicek model driven by a sub-fractional Brownian motion.
B L S Prakasa Rao
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

Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model

Lithuanian Journal of Statistics, 2016
We consider the fractional Vasicek model of the form dXt = (α-βXt)dt + γdBHt, driven by fractional Brownian motion BH with Hurst parameter H ∈ (0,1). We construct three estimators for an unknown parameter θ=(α,β) and prove their strong consistency.
Stanislav Lohvinenko, Kostiantyn Ralchenko, Olga Zhuchenko   +2 more
doaj   +3 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

Interest rate options in one-factor mixed modified fractional Vasicek model

International Journal of Financial Engineering
This 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, Jules Sadefo Kamdem, Louis Aimé Fono   +2 more
openaire   +3 more sources

LEAST SQUARES ESTIMATORS OF DRIFT PARAMETER FOR DISCRETELY OBSERVED FRACTIONAL VASICEK-TYPE MODEL

International Journal of Advanced Research
We study the drift parameter estimation problem for a fractional Vasicek-typemodel X:={X_t,t⩾0}, that is defined as dX_t=θ(µ+X_t)dt+dB_t^H, t⩾0 withunknown parameters θ>0 and µ∈ℝ, where {B_t^H,t⩾0}is a fractional Brownianmotion of Hurst index H ∈]0, 1 ...
Maoudo Faramba Balde, Bakary Kourouma, Mamadou Saliou Bahand Abdoulaye Mendy   +2 more
openaire   +3 more sources