The price of bond and European option on bond without credit risk. Classical look and its quantum extension

Edward Piotrowski (), Malgorzata Schroeder and Anna Szczypinska

Papers from arXiv.org

Abstract: In this paper we compare two classical one-factor diffusion models which are used to model the term structure of interest rates. One of them is based on the Wiener-Bachelier process while the second one is based on the Ornstein-Uhlenbeck process. We show essential differences between the prices of European call options on a zero-coupon bond in these models.

Date: 2008-03
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0803.4282

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