paper
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
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
Paper2008-03-29English
derivatives pricingarxiv
Description
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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