ALI REZA NAJAFI
Articles written in Sadhana
Volume 45 All articles Published: February 2020 Article ID 0058 Original Article (Mechanical Sciences)
This paper considers the problem of pricing of Bermuda options on zero-coupon bond in which the dynamics of the interest rate model follows the mixed fractional Vasicek model. The strong convergence of the Euler discretization scheme for the mixed fractional Vasicek model is analysed. Specifically, we find an approximate formula for zero-coupon bond price. Numerical experiments are provided and compared for Bermuda-style call and put options with the Monte Carlo simulation approach.