Bull Spread Option pricing using a mixed modified fractional process with stochastic volatility and interest rates

Eric Djeutcha and Jules Sadefo-Kamdem
Additional contact information
Eric Djeutcha: UMa - University of Maroua
Jules Sadefo-Kamdem: MRE - Montpellier Recherche en Economie - UM - Université de Montpellier
Authors registered in the RePEc Author Service: Jules SADEFO KAMDEM

Post-Print from HAL

Abstract: We price options so as to take into account the existence of memory (short or long) characterizing the stochastic processes that generate prices, volatility and interest rates. In particular, we propose a model for Bull Spread options in a Mixed Modified Fractional Hull-White-Vasicek stochastic volatility and stochastic interest rate model. We propose a specific Bull Spread Vulnerable option pricing based on MMFHWV model.

Date: 2021-07-01
New Economics Papers: this item is included in nep-isf and nep-rmg
References: Add references at CitEc
Citations:

Published in 2nd Financial Economics Meeting: Crisis Challenges (FEM-2021), EDC Paris Business School; ESSCA School of Management, Paris (France); CY Cergy Paris University, Cergy (France), Jul 2021, Paris, France. ⟨10.13140/RG.2.2.11881.21608⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03327512

DOI: 10.13140/RG.2.2.11881.21608

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().