Bond and Option Prices under Skew Vasicek Model with Transaction Cost
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DOI: 10.1155/2021/9920240
Abstract: This paper studies the European option pricing on the zero-coupon bond in which the Skew Vasicek model uses to predict the interest rate amount. To do this, we apply the skew Brownian motion as the… read more here.
Keywords: skew vasicek; option; transaction; bond ... See more keywords