Results 21 to 30 of about 14,774,356 (95)
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 +2 more
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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 +3 more
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Asymptotic theory for rough fractional Vasicek models
Economics Letters, 2019 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
XIAO, Weilin, YU, Jun
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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
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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
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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
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A Heston Fractional Vasicek Framework for Option Pricing [PDF]
Mathematics and Modeling in FinanceWe develop an option-pricing framework that couples the Heston stochastic volatility model with a fractional Vasicek short-rate process to incorporate long-memory effects in interest rates.
Somayeh Fallah
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Vasicek Model Extension. Premature default [PDF]
, 2021 The IRB approach underlies Basel II and Basel III. The approach is based on the Vasicek distribution. The main advantage of the distribution is simplicity and accounting for default correlation.
Osadchiy, Maksim
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Fractional power NARX model identification using a harmony search algorithm [PDF]
, 2012 A novel type of discrete-time fractional-powernonlinear autoregressive with exogenous input (FPNARX) modelis introduced for system identification, modeling and prediction.Parameter estimation of such a model is a nonlinear optimizationproblem.
Zhao, Yifan +7 more
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Lie symmetry analysis on pricing power options under the Heston dynamic and some fractional financial models [PDF]
The rise of computational mathematics in financial markets has accelerated the bloom of various financial models. For instance, the Black-Scholes-Merton model, the Vasicek model, the Cox-Ingersoll-Ross model, the Heston model, etc.
Chong, Kam Yoon
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