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

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

2008-03-29

arxiv.org/abs/0803.4282v1

Economy

Quantitative Finance

Pricing of Securities

17 pages, 2 figures, working paper

Scientific paper

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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