Interest rate derivatives for the fractional Cox-Ingersoll-Ross model-Reference-Cited by-同舟云学术

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Interest rate derivatives for the fractional Cox-Ingersoll-Ross model

Published:2023-09-16 Issue:1-2 Volume:10 Page:53-66
ISSN:2158-5571
Container-title:Algorithmic Finance
language:
Short-container-title:AF

Author:

Bishwal Jaya P.N.¹

Affiliation:

1. Department of Mathematics and Statistics, University of North Carolina at Charlotte, Charlotte, NC, USA

Abstract

We obtain the bond price formula for the fractional Cox-Ingersoll-Ross model. Then we obtain option price formula for the bond. Finally we apply it to derive option price formula in fractional Heston model.

Publisher

IOS Press

Subject

Computational Mathematics,Computer Science Applications,Computer Vision and Pattern Recognition,Finance

Reference46 articles.

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