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

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dc.creatorPiotrowski, Edward W.
dc.creatorSchroeder, Malgorzata
dc.creatorSzczypinska, Anna
dc.date2008-03-29
dc.date.accessioned2026-07-07T12:05:45Z
dc.date.available2026-07-07T12:05:45Z
dc.descriptionIn 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.
dc.description17 pages, 2 figures, working paper
dc.identifierhttps://arxiv.org/abs/0803.4282
dc.identifierhttp://arxiv.org/abs/0803.4282
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208463
dc.subjectPricing of Securities
dc.subjectData Analysis, Statistics and Probability
dc.titleThe price of bond and European option on bond without credit risk. Classical look and its quantum extension
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