2008/03/29 by Edward W. Piotrowski, Piotrowski, Edward W., Malgorzata Schroeder +5
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Data Analysis #FOS: Economics and business #FOS: Physical sciences #Pricing of Securities (q-fin.PR) #Statistics and Probability (physics.data-an) #Stochastic processes and financial applications #Theoretical and Computational Physics #physics.data-an #q-fin.PR
paper · pdf · doi:10.48550/arxiv.0803.4282
17 pages, 2 figures, working paper
arxiv created 2008/03/29 · openalex publication_date 2008/03/29 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.