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

DOI10.3233/af-220467zbMath1544.91311MaRDI QIDQ6597649

Jaya P. N. Bishwal

Publication date: 3 September 2024

Published in: Algorithmic Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityMonte Carlo methodbond priceinterest rateaffine modelsfractional Heston modelfractional Cox-Ingersoll-Ross modelWick-Itô stochastic differential equation

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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