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Bull Spread Option pricing using a mixed modified fractional process with stochastic volatility and interest rates

Author

Listed:
  • Eric Djeutcha

    (UMa - University of Maroua)

  • Jules Sadefo-Kamdem

    (MRE - Montpellier Recherche en Economie - UM - Université de Montpellier)

Abstract

We price options so as to take into account the existence of memory (short or long) characterizing the stochastic processes that generate prices, volatility and interest rates. In particular, we propose a model for Bull Spread options in a Mixed Modified Fractional Hull-White-Vasicek stochastic volatility and stochastic interest rate model. We propose a specific Bull Spread Vulnerable option pricing based on MMFHWV model.

Suggested Citation

  • Eric Djeutcha & Jules Sadefo-Kamdem, 2021. "Bull Spread Option pricing using a mixed modified fractional process with stochastic volatility and interest rates," Post-Print hal-03327512, HAL.
    • Handle: RePEc:hal:journl:hal-03327512
    DOI: 10.13140/RG.2.2.11881.21608
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