Interest rate derivatives for the fractional Cox-Ingersoll-Ross model (Q6597649)
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scientific article; zbMATH DE number 7906108
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Interest rate derivatives for the fractional Cox-Ingersoll-Ross model |
scientific article; zbMATH DE number 7906108 |
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Interest rate derivatives for the fractional Cox-Ingersoll-Ross model (English)
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3 September 2024
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Wick-Itô stochastic differential equation
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affine models
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fractional Cox-Ingersoll-Ross model
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interest rate
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bond price
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fractional Heston model
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stochastic volatility
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Monte Carlo method
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