A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1)
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Publication:5078109
DOI10.1080/03610926.2018.1464580OpenAlexW2901863598MaRDI QIDQ5078109
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Publication date: 20 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2018.1464580
Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial science and mathematical finance (91Gxx)
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