Valuation of Bid and Ask Prices for Cap and Floor Contracts In a Fractional Vasicek Model

2018 ◽  
Author(s):  
Ali Reza Najaf ◽  
Farshid Mehrdoust ◽  
Hossein Samimi
Keyword(s):  
Vasicek Model

scholarly journals PERHITUNGAN PREMI ASURANSI JOINT LIFE DENGAN MODEL VASICEK DAN CIR

2019 ◽  
Vol 8 (3) ◽  
pp. 246
Author(s):  
I MADE WAHYU WIGUNA ◽  
KETUT JAYANEGARA ◽  
I NYOMAN WIDANA
Keyword(s):  
Stochastic Process ◽  
Interest Rates ◽  
Life Insurance ◽  
Insurance Premium ◽  
Insurance Contract ◽  
Insurance Company ◽  
Vasicek Model ◽  
Cir Model ◽  
Premium Payment ◽  
Premium Price

Premium is a sum of money that must be paid by insurance participants to insurance company, based on  insurance contract. Premium payment are affected by interest rates. The interest rates change according to stochastic process. The purpose of this work is to calculate the price of joint life insurance premiums with Vasicek and CIR models. The price of a joint life insurance premium with Vasicek and CIR models, at the age of the insured 35 and 30 years has increased until the last year of the contract. The price of a joint life insurance premium with Vasicek model is more expensive than the premium price using CIR model.

scholarly journals The Continuous-Time Ehrenfest Process in Term Structure Modelling

2010 ◽  
Vol 47 (3) ◽  
pp. 693-712
Author(s):  
A. Kaplun
Keyword(s):  
Term Structure ◽  
Continuous Time ◽  
Numerical Results ◽  
Vasicek Model ◽  
Finite State

In this paper, a finite-state mean-reverting model for the short rate, based on the continuous-time Ehrenfest process, will be examined. Two explicit pricing formulae for zero-coupon bonds will be derived in the general and special symmetric cases. Its limiting relationship to the Vasicek model will be examined with some numerical results.

scholarly journals ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL

2018 ◽  
Vol 35 (1) ◽  
pp. 198-231 ◽  
Author(s):  
Weilin Xiao ◽  
Jun Yu
Keyword(s):  
Strong Consistency ◽  
Asymptotic Theory ◽  
Least Squares Method ◽  
Estimation Method ◽  
Hurst Parameter ◽  
Stationary Case ◽  
Vasicek Model ◽  
Continuous Record ◽  
Recurrent Case ◽  
Two Parameters

This article develops an asymptotic theory for estimators of two parameters in the drift function in the fractional Vasicek model when a continuous record of observations is available. The fractional Vasicek model with long-range dependence is assumed to be driven by a fractional Brownian motion with the Hurst parameter greater than or equal to one half. It is shown that, when the Hurst parameter is known, the asymptotic theory for the persistence parameter depends critically on its sign, corresponding asymptotically to the stationary case, the explosive case, and the null recurrent case. In all three cases, the least squares method is considered, and strong consistency and the asymptotic distribution are obtained. When the persistence parameter is positive, the estimation method of Hu and Nualart (2010) is also considered.

scholarly journals The Continuous-Time Ehrenfest Process in Term Structure Modelling

2010 ◽  
Vol 47 (03) ◽  
pp. 693-712
Author(s):  
A. Kaplun
Keyword(s):  
Term Structure ◽  
Continuous Time ◽  
Numerical Results ◽  
Vasicek Model ◽  
Finite State

In this paper, a finite-state mean-reverting model for the short rate, based on the continuous-time Ehrenfest process, will be examined. Two explicit pricing formulae for zero-coupon bonds will be derived in the general and special symmetric cases. Its limiting relationship to the Vasicek model will be examined with some numerical results.

scholarly journals A Green′s function for a convertible bond using the Vasicek model

2002 ◽  
Vol 2 (5) ◽  
pp. 219-232 ◽  
Author(s):  
R. Mallier ◽  
A. S. Deakin
Keyword(s):  
Random Walk ◽  
Laplace Transform ◽  
Stock Price ◽  
Mellin Transform ◽  
Convertible Bond ◽  
Vasicek Model ◽  
Function Solution ◽  
Risk Free Rate ◽  
Free Rate

We consider a convertible security where the underlying stock price obeys a lognormal random walk and the risk-free rate is given by the Vasicek model. Using a Laplace transform in time and a Mellin transform in the stock price, we derive a Green′s function solution for the value of the convertible bond.

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