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

Eric Djeutcha (1) , Jules Sadefo-Kamdem (2)

1 UMa - University of Maroua
2 MRE - Montpellier Recherche en Economie

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.

Domaines: Economies et finances

Eric Djeutcha, Jules Sadefo-Kamdem. Bull Spread Option pricing using a mixed modified fractional process with stochastic volatility and interest rates. 2nd Financial Economics Meeting: Crisis Challenges (FEM-2021), EDC Paris Business School; ESSCA School of Management, Paris (France); CY Cergy Paris University, Cergy (France), Jul 2021, Paris, France. ⟨10.13140/RG.2.2.11881.21608⟩. ⟨hal-03327512⟩