[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.5351/CKSS.2008.15.1.137

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)

Publication Information

Communications for Statistical Applications and Methods / v.15, no.1, 2008 , pp. 137-145 More about this Journal

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.

Keywords

Fractional Brownian motion; HJM; Wick integral; defaultable bond; cap;

Citations & Related Records

Reference

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