Pricing callable bonds and optimal callable time under the Fractional Black-Scholes market
This article concerns the pricing of callable bonds and the determination of optimal call time under the fractional Black-Scholes model. By employing a discrete approximation of the continuous asset price process, we efficiently estimate the continuation value as well as the optimal callable time, a...
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| Autores principales: | , , |
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| Formato: | Artigo |
| Lenguaje: | Inglês |
| Publicado: |
Texas State University
2026-02-01
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| Colección: | Electronic Journal of Differential Equations |
| Materias: | |
| Acceso en línea: | http://ejde.math.txstate.edu/Volumes/2026/09/abstr.html |
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