DocumentCode
3302362
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
fYear
2011
fDate
19-21 May 2011
Firstpage
1
Lastpage
3
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Computer and Management (CAMAN), 2011 International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-9282-4
Type
conf
DOI
10.1109/CAMAN.2011.5778794
Filename
5778794
Link To Document