Results 21 to 30 of about 775 (103)
Calibration of time-dependent volatility for European options under the fractional Vasicek model
AIMS Mathematics, 2022 <abstract><p>In this paper, we calibrate the time-dependent volatility function for European options under the fractional Vasicek interest rate model. A fully implicit finite difference method is applied to solve the partial differential equation of option pricing numerically.
Jiajia Zhao, Zuoliang Xu
openaire +2 more sources
Estimating contagion mechanism in global equity market with time‐zone effect
Financial Management, Volume 52, Issue 3, Page 543-572, Autumn (Fall) 2023., 2023 Abstract This paper proposes a time‐zone vector autoregressive (VAR) model to investigate comovements in the global financial market. Analyzing daily data from 36 national equity markets, we explore the subprime and European debt crises using static analysis and the COVID‐19 crisis through a rolling window method.
Boyao Wu, Difang Huang, Muzi Chen
wiley +1 more source
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
Annals of Operations Research, 2022 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Eric Djeutcha, Jules Sadefo Kamdem
openaire +2 more sources
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 +1 more source
Modelling and forecasting international interest rate spreads: UK, Germany, Japan and the US [PDF]
, 2014 The interest rate spread is of importance to policy-makers and finance professionals in asset allocation and is a common measure of financial market stress.
Gough, O. +5 more
core +1 more source
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 +4 more sources
On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process [PDF]
, 2016 We study some estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process and prove that they are strongly consistent and most of them are asymptotically normal. Moreover, we compare the asymptotic behavior of
Kubilius, Kestutis, Melichov, Dmitrij
core +3 more sources
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka +4 more
wiley +1 more source
Statistical inference for Vasicek-type model driven by Hermite processes [PDF]
, 2018 Let $Z$ denote a Hermite process of order $q \geq 1$ and self-similarity parameter $H \in (\frac{1}{2}, 1)$. This process is $H$-self-similar, has stationary increments and exhibits long-range dependence.
Nourdin, Ivan, Tran, T. T. Diu
core +1 more source