Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost

DOI10.1080/03610918.2017.1295153OpenAlexW2590781389MaRDI QIDQ5084750

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Publication date: 28 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2017.1295153

zbMATH Keywords

American put optionzero-coupon bondLeland's hedging strategyFCIR interest rate model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1)

Cites Work

• Unnamed Item
• On Leland's strategy of option pricing with transactions costs
• A general version of the fundamental theorem of asset pricing
• Arbitrage in fractional Brownian motion models
• Arbitrage opportunities for a class of Gladyshev processes
• Tolerance to arbitrage
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
• A Theory of the Term Structure of Interest Rates
• Arbitrage with Fractional Brownian Motion
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• Fractional Brownian Motions, Fractional Noises and Applications

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