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

IF 0.3 Q4 BUSINESS, FINANCE

Algorithmic Finance Pub Date : 2023-06-06 DOI:10.3233/af-220467

J. Bishwal

引用次数: 0

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.

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分数Cox-Ingersoll-Ross模型的利率导数

我们得到了分数Cox-Ingersoll-Ross模型的债券价格公式。然后我们得到了债券的期权价格公式。最后，我们将其应用于分数Heston模型中的期权价格公式的推导。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Algorithmic Finance BUSINESS, FINANCE-

CiteScore

0.40

自引率

0.00%

发文量

期刊介绍： Algorithmic Finance is both a nascent field of study and a new high-quality academic research journal that seeks to bridge computer science and finance. It covers such applications as: High frequency and algorithmic trading Statistical arbitrage strategies Momentum and other algorithmic portfolio management Machine learning and computational financial intelligence Agent-based finance Complexity and market efficiency Algorithmic analysis of derivatives valuation Behavioral finance and investor heuristics and algorithms Applications of quantum computation to finance News analytics and automated textual analysis.