Results 51 to 60 of about 90 (67)

Least squares estimations for approximate fractional Vasicek model driven by a semimartingale

Mathematics and Computers in Simulation, 2023
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jixia Wang, Xiaofang Xiao, Chao Li
openaire   +3 more sources

A mixed fractional Vasicek model and pricing Bermuda option on zero-coupon bonds

Sādhanā, 2020
This paper considers the problem of pricing of Bermuda options on zero-coupon bond in which the dynamics of the interest rate model follows the mixed fractional Vasicek model. The strong convergence of the Euler discretization scheme for the mixed fractional Vasicek model is analysed.
Farshid Mehrdoust, Ali Reza Najafi, Hossein Samimi   +2 more
openaire   +3 more sources

Fractional Vasicek Model in Financial Mathematics

2021 IEEE International Conference on Technology, Research, and Innovation for Betterment of Society (TRIBES), 2021
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Calibrating fractional Vasicek model

Communications in Statistics - Theory and Methods, 2021
In this paper, the estimators for the Hurst parameter and diffusion parameter of a Vasicek model driven by fractional Brownian motion are studied, where the observations are in discrete time.
Yuecai Han, Nan Li
openaire   +1 more source

Parameter Estimation for the Discretely Observed Vasicek Model with Small Fractional Lévy Noise

Acta Mathematica Sinica, English Series, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Shen, Guang Jun, Wang, Qing Bo, Yin, Xiu Wei   +2 more
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Valuation of Bid and Ask Prices for Cap and Floor Contracts In a Fractional Vasicek Model

SSRN Electronic Journal, 2018
This paper derives bid and ask formulas for cap and floor contracts by using Wang trans- form under fractional version of the Vasicek interest rate model. To do this, first the parameters of the model are estimated by MLE calibration method, then standard and fractional version of the Vasicek model are compared by the Akaike information criterion ...
Ali Reza Najaf, Farshid Mehrdoust, Hossein Samimi   +2 more
openaire   +1 more source

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   +1 more source

Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion

Stochastics, 2021
Guangjun Shen, Zheng Tang, Xiuwei Yin
openaire   +1 more source

Calibrating fractional Vasicek model

Communications in Statistics - Theory and Methods, 2023
Yuecai Han
exaly  

A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model

Computational Economics, 2022
Hassen Arfaoui, Kharrat Mohamed
exaly