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

被引：0
作者：
Farshid Mehrdoust
Ali Reza Najafi
Hossein Samimi
机构：
[1] University of Guilan,Department of Applied Mathematics, Faculty of Mathematical Sciences
[2] University of Guilan,Department of Statistics, Faculty of Mathematical Sciences
来源：
Sādhanā | 2020年 / 45卷
关键词：
Bermuda option; mixed fractional Vasicek model; zero-coupon bond; Monte Carlo simulation;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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. Specifically, we find an approximate formula for zero-coupon bond price. Numerical experiments are provided and compared for Bermuda-style call and put options with the Monte Carlo simulation approach.
引用
收藏
相关论文
共 18 条
  • [1] A mixed fractional Vasicek model and pricing Bermuda option on zero-coupon bonds
    Mehrdoust, Farshid
    Najafi, Ali Reza
    Samimi, Hossein
    SADHANA-ACADEMY PROCEEDINGS IN ENGINEERING SCIENCES, 2020, 45 (01):
  • [2] Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost
    Najafi, A. R.
    Mehrdoust, Farshid
    Shirinpour, Shima
    COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2018, 47 (03) : 864 - 870
  • [3] Azema martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds
    Dassios, Angelos
    Lim, Jia Wei
    Qu, Yan
    MATHEMATICAL FINANCE, 2020, 30 (04) : 1497 - 1526
  • [4] A Robust Spectral Method for Pricing of American Put Options on Zero-Coupon Bonds
    Pindza, Edson
    Patidar, Kailash C.
    EAST ASIAN JOURNAL ON APPLIED MATHEMATICS, 2018, 8 (01) : 126 - 138
  • [5] A front-fixing method for American option pricing on zero-coupon bond under the Hull and White model
    Company, Rafael
    Egorova, Vera N.
    Jodar, Lucas
    Peris, Jorge
    MATHEMATICAL METHODS IN THE APPLIED SCIENCES, 2022, 45 (06) : 3334 - 3344
  • [6] An inverse problem arisen in the zero-coupon bond pricing
    Deng, Zui-Cha
    Yu, Jian-Ning
    Yang, Liu
    NONLINEAR ANALYSIS-REAL WORLD APPLICATIONS, 2010, 11 (03) : 1278 - 1288
  • [7] Hedging of long term zero-coupon bonds in a market model with reinvestment risk
    Stefanovits D.
    Wüthrich M.V.
    European Actuarial Journal, 2014, 4 (1) : 49 - 75
  • [8] Asian option pricing under sub-fractional vasicek model
    Tao, Lichao
    Lai, Yuefu
    Ji, Yanting
    Tao, Xiangxing
    QUANTITATIVE FINANCE AND ECONOMICS, 2023, 7 (03): : 403 - 419
  • [9] Zero-coupon bond prices in the Vasicek and CIR models: Their computation as group-invariant solutions
    Sinkala, W.
    Leach, P. G. L.
    O'Hara, J. G.
    MATHEMATICAL METHODS IN THE APPLIED SCIENCES, 2008, 31 (06) : 665 - 678
  • [10] Evaluating American put options on zero-coupon bonds by a penalty method
    Zhou, Hong Jun
    Yiu, Ka Fai Cedric
    Li, Leong Kwan
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2011, 235 (13) : 3921 - 3931
12