Results 21 to 30 of about 90 (67)

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

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

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

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

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   +2 more sources

European option pricing under a MSBfBM-Vasicek model: Empirical analysis from the SSE 300ETF and 50ETF of China

International Review of Economics & Finance
As a core instrument in China’s financial derivatives market, the scientific pricing of SSE 50ETF options is crucial for market stability and investment decision-making.
Yanni Zhang, Guitian He, Yinyan Gan, Juncong Lai   +3 more
doaj   +1 more source

Twin Defaults and Bank Capital Requirements

The Journal of Finance, EarlyView.
ABSTRACT We examine optimal capital requirements in a quantitative general equilibrium model with banks exposed to nondiversifiable borrower default risk. Contrary to standard models of bank default risk, our framework captures the limited upside, but significant downside risk of loan portfolio returns.
CATERINA MENDICINO, KALIN NIKOLOV, JUAN RUBIO‐RAMIREZ, JAVIER SUAREZ, DOMINIK SUPERA   +4 more
wiley   +1 more source

Functional Vašiček Model

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, Neda Mohammadi, Leonardo Santoro, Hong Miao, Haonan Wang   +4 more
wiley   +1 more source

Consumption in Asset Returns

The Journal of Finance, Volume 81, Issue 4, Page 2271-2330, August 2026.
ABSTRACT Using information in returns, we identify the stochastic process of consumption. We find that aggregate consumption reacts over multiple quarters to innovations spanned by financial markets. This persistent component accounts for over a quarter of consumption variation. These shocks command a large and significant risk premium, driving a large
SVETLANA BRYZGALOVA, JIANTAO HUANG, CHRISTIAN JULLIARD   +2 more
wiley   +1 more source

Robust Bernoulli Mixture Models for Credit Portfolio Risk

Mathematical Finance, Volume 36, Issue 3, Page 528-543, July 2026.
ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley   +1 more source

A Short‐Rate Model With Stochastic Long‐Term Mean and Volterra‐Type Memory: Risk Implications for Bonds and Option Pricing

Applied Stochastic Models in Business and Industry, Volume 42, Issue 3, May/June 2026.
ABSTRACT Traditional short‐rate models introduce volatility directly into the instantaneous rate via Brownian shocks. However, empirical data suggest that short‐term interest rates exhibit smoother behavior than such models imply. We propose a two‐factor Gaussian short‐rate model in which the short rate is a deterministic exponential filter of a ...
Allan Jonathan da Silva
wiley   +1 more source