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

2018 ◽  
Vol 48 (9) ◽  
pp. 2254-2266 ◽  
Author(s):  
Somayeh Fallah ◽  
Ali Reza Najafi ◽  
Farshid Mehrdoust
Keyword(s):  
Interest Rate ◽  
Hurst Index ◽  
Rate Model ◽  
Barrier Option ◽  
Double Barrier ◽  
Interest Rate Model ◽  
Double Barrier Option

scholarly journals DC Pension Plan with Refund of Contributions under Affine Interest Rate Model

2020 ◽  
pp. 1-16
Author(s):  
Udeme O. Ini ◽  
Obinichi C. Mandah ◽  
Edikan E. Akpanibah
Keyword(s):  
Interest Rate ◽  
Optimal Investment ◽  
Hjb Equation ◽  
Pension Scheme ◽  
Theoretic Approach ◽  
Rate Model ◽  
Risky Assets ◽  
Investment Plan ◽  
Interest Rate Model ◽  
The Impact

This paper studies the optimal investment plan for a pension scheme with refund of contributions, stochastic salary and affine interest rate model. A modified model which allows for refund of contributions to death members’ families is considered. In this model, the fund managers invest in a risk free (treasury) and two risky assets (stock and zero coupon bond) such that the price of the risky assets are modelled by geometric Brownian motions and the risk free interest rate is of affine structure. Using the game theoretic approach, an extended Hamilton Jacobi Bellman (HJB) equation which is a system of non linear PDE is established. Furthermore, the extended HJB equation is then solved by change of variable and variable separation technique to obtain explicit solutions of the optimal investment plan for the three assets using mean variance utility function. Finally, theoretical analyses of the impact of some sensitive parameters on the optimal investment plan are presented.

scholarly journals Numerical method for pricing discretely monitored double barrier option by orthogonal projection method

2021 ◽  
Vol 6 (6) ◽  
pp. 5750-5761
Author(s):  
Kazem Nouri ◽  
◽  
Milad Fahimi ◽  
Leila Torkzadeh ◽  
Dumitru Baleanu ◽  
...  
Keyword(s):  
Numerical Method ◽  
Projection Method ◽  
Orthogonal Projection ◽  
Barrier Option ◽  
Double Barrier ◽  
Double Barrier Option

scholarly journals Nonparametric estimation and specification testing of a two-factor interest rate model

2021 ◽  
Author(s):  
Brennan Scott Thompson
Keyword(s):  
Interest Rate ◽  
Nonparametric Estimation ◽  
Rate Model ◽  
Specification Testing ◽  
Interest Rate Model

Nonparametric estimation and specification testing of a two-factor interest rate model

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