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Bond pricing under mixed generalized CIR model with mixed Wishart volatility process · Study

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ArticleBond pricing under mixed generalized CIR model with mixed Wishart volatility process

Alireza Najafi2017

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Articlebronze2017

Bond pricing under mixed generalized CIR model with mixed Wishart volatility process

Alireza Najafi · Farshid Mehrdoust

19 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Fuzzy Systems and Optimization

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References

1985A Theory of the Term Structure of Interest Rates 1968Fractional Brownian Motions, Fractional Noises and Applications 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 19965 Stochastic volatility 2000Derivatives in Financial Markets with Stochastic Volatility 2001Mixed Fractional Brownian Motion 2003Arbitrage in fractional Brownian motion models 2002Option valuation under stochastic volatility: with mathematica code

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Year2017

Typearticle

Published2017-01-16

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations19

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2016.12.039

openalex_workW2576905463

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