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arXiv · 0803.4282

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

Edward W. Piotrowski·Malgorzata Schroeder·Anna Szczypinska
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Abstract

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.

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Edward W. Piotrowski, Malgorzata Schroeder, Anna Szczypinska. 2008-03-29. The price of bond and European option on bond without credit risk. Classical look and its quantum extension. https://arxiv.org/abs/0803.4282

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