A mixed fractional Vasicek model and pricing Bermuda option on zero-coupon bonds

This paper considers the problem of pricing of Bermuda options on zero-coupon bond in which the dynamics of the interest rate model follows the mixed fractional Vasicek model. The strong convergence of the Euler discretization scheme for the mixed fractional Vasicek model is analysed. Specifically,...

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Veröffentlicht in:	Sadhana (Bangalore) 2020, Vol.45 (1), Article 58
Hauptverfasser:	Mehrdoust, Farshid, Najafi, Ali Reza, Samimi, Hossein
Format:	Artikel
Sprache:	eng
Schlagworte:	Computer simulation Engineering Monte Carlo simulation Pricing Put & call options Zero coupon bonds
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