Title :
The Bond Pricing Model on Fractional Jump-Diffusion Process
Author :
Xue, Hong ; Li, Jun ; Yang, Shan ; Wu, Xiao-Rui
Author_Institution :
Sch. of Sci., Xi´´an Polytech. Univ., Xi´´an, China
Abstract :
Assume that the interest rate satisfies the Hull-White model driven by fractional jump-diffusion process, the bond pricing mathematic model on fractional jump-diffusion process is built by no-arbitrage theory and method, and the explicit expression for bond price is obtained.
Keywords :
economic indicators; pricing; Hull-White model; bond pricing mathematic model; fractional jump diffusion process; interest rate; Analytical models; Brownian motion; Economic indicators; Educational institutions; Face; Mathematical model; Pricing;
Conference_Titel :
Computer and Management (CAMAN), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-9282-4
DOI :
10.1109/CAMAN.2011.5778794
