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

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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Year of publication:	2008-03
Authors:	Piotrowski, Edward W. ; Schroeder, Malgorzata ; Szczypinska, Anna
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005083597