Stochastic volatility corrections for bond pricing in the fractional Vasicek model

zbMATH Open1277.91179MaRDI QIDQ2862628

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Publication date: 18 November 2013

Published in: (Search for Journal in Brave)

Full work available at URL: http://www.pphmj.com/abstract/7789.htm

zbMATH Keywords

singular perturbationfractional Brownian motionstochastic volatilitybond priceinterest rateVasicek modelfractional Orenstein-Uhlenbeck process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Singular perturbations in context of PDEs (35B25) Brownian motion (60J65) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic integrals (60H05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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