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Mathematical Problems in Engineering
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2021
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Article
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Tab 6
/
Research Article
Bond and Option Prices under Skew Vasicek Model with Transaction Cost
Table 6
The value of the European call and put options and zero coupon bond under the different amounts of the expiration time
,
,
,
,
,
,
,
and
.
Time expiration (months)
18
24
Bond
0.9650
0.8407
Option call
0.0949
0
Option put
0
0.0683
0.0836