Pricing for options in a mixed fractional Hull-White interest rate model
Jian Pan and Xiangying Zhou
| Year of publication: |
March 2017
|
|---|---|
| Authors: | Pan, Jian ; Zhou, Xiangying |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 4.2017, 1, p. 1-15
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| Subject: | Mixed fractional Hull-White interest rate model | zero-coupon bond | mathematical physics methods | option pricing | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Finanzmathematik | Mathematical finance | Zinsderivat | Interest rate derivative | Zero-Bond | Zero-coupon bond | Zins | Interest rate | CAPM | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786317500116 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011673121