The price of bond and European option on bond without credit risk. Classical look and its quantum extension

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In this paper we compare two classical one-factor diffusion models which are used to model the term structure of interest rates. One of them is based on the Wiener-Bachelier process while the second one is based on the Ornstein-Uhlenbeck process. We show essential differences between the prices of European call options on a zero-coupon bond in these models.
17 pages, 2 figures, working paper

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Pricing of Securities, Data Analysis, Statistics and Probability

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http://salesiana.dossiersoluciones.com/handle/123456789/208463

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0803.4282
 http://arxiv.org/abs/0803.4282

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arXiv