Bid and Ask spreads for the cap and floor contracts under the Liouville fractional Vasicek model
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This paper presents bid and ask formulas for cap and floor contracts prices byusing Wang transform under a Liouville fractional Vasicek (LfVasicek) interest rate model. To do this, the parameters of the model are calibrated by using the Newton-Raphson (NR) method. Then the standard and Liouville fractional versions of the Vasicek model are compared by the Bayes information criterion (BIC). Finally, we obtain the bid-ask boundaries for interest rate amount and cap and foor prices.
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2015 ◽
Vol 70
(8)
◽
pp. 1757-1771
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2019 ◽
Vol 32
(6)
◽
pp. 1659-1674