Interest rate option pricing and volatility forecasting: an application to Brazil

DOI10.1016/J.CHAOS.2007.01.038zbMath1146.91356OpenAlexW2024098913WikidataQ126264186 ScholiaQ126264186MaRDI QIDQ953623

Benjamin Miranda Tabak, Marcelo Yoshio Takami

Publication date: 6 November 2008

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2007.01.038

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• A fractional version of the Merton model.
• Option pricing of a mixed fractional-fractional version of the Black-Scholes model
• Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
• An Intertemporal General Equilibrium Model of Asset Prices
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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