Calibration of time-dependent volatility for European options under the fractional Vasicek model
In this paper, we calibrate the time-dependent volatility function for European options under the fractional Vasicek interest rate model. A fully implicit finite difference method is applied to solve the partial differential equation of option pricing numerically. To find the volatility function, we...
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| Format: | Article |
| Language: | English |
| Published: |
American Institute of Mathematical Sciences
2022
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |