Results 11 to 20 of about 90 (67)

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

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   +4 more sources

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

Annals of Operations Research, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Eric Djeutcha, Jules Sadefo Kamdem
openaire   +4 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

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   +1 more source

Asymptotic theory for rough fractional Vasicek models

Economics Letters, 2019
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
XIAO, Weilin, YU, Jun
openaire   +4 more sources

Estimation the vasicek interest rate model driven by fractional Lévy processes with application

Journal of Physics: Conference Series, 2021
Abstract In this article, we present that fractional Lévy processes which is very an important field in both probability theory and its application in recent years. The fractional Brownian motion is suggested as the fractional Lévy processes in this article.
M F Al-Saadony, W J Al-Obaidi
openaire   +1 more source

Discount Rates, Debt Maturity, and the Fiscal Theory

The Journal of Finance, Volume 78, Issue 6, Page 3561-3620, December 2023., 2023
ABSTRACT This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect expected inflation, even in a frictionless economy.
ALEXANDRE CORHAY, THILO KIND, HOWARD KUNG, GONZALO MORALES   +3 more
wiley   +1 more source