|
| Acta Mathematica Sinica, Chinese Series
2012 (2):
219-230
ISSN: 0583-1431: CN: 11-2039/O1 |
|
|
|
|
|
| Pricing Formulae for European Options under the Fractional Vasicek Interest Rate Model |
| Wen Li HUANG1, Xiang Xing TAO1, Sheng Hong LI2 |
1. Institute of Applied Mathematics, Zhejiang University of Science and Technology, Hangzhou 310023, P. R. China;
2. Institute of Mathematical Finance, Department of Mathematics, Zhejiang University, Hangzhou 310027, P. R. China |
| Received 2010-09-01 Revised 2011-07-04 Online 2012-03-15 |
| Reference |
|
|
|
| Corresponding author: |
|