Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Cap Pricings under the Fractional Brownian Motion

  • Rhee, Joon-Hee (Department of Business and Administration, Soong-Sil University) ;
  • Kim, Yoon-Tae (Department of Statistics, Hallym University)
  • Published : 2008.01.31
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Abstract

We present formulas for two types of cap pricing under fBm-HJM model reflecting the empirical long range dependence in the interest rate model. In particular, we propose a new approach to pricing the cap with the default risk.

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References

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