Bond and Option Prices under Skew Vasicek Model with Transaction Cost

<table class="table-group" id="tab7"><tr><td><table class="table"><tr><td class="thead-hr" colspan="6"><hr/></td></tr><tr class="thead"><td class="align_left">Strike price</td><td class="align_center"><span style="width: 15.6015ptpx;"><svg height="8.55521pt" id="M246" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -8.34882 15.6015 8.55521" width="15.6015pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g><g transform="matrix(.013,0,0,-0.013,6.24,0)"><path d="M113 -12C146 -12 170 11 170 46C170 78 146 103 114 103S58 78 58 46C58 11 82 -12 113 -12Z"></path></g><g transform="matrix(.013,0,0,-0.013,9.204,0)"><path d="M137 343C167 482 260 545 321 574C357 591 397 603 429 609L423 641C382 634 335 622 295 608C189 570 37 457 37 238C37 84 125 -12 242 -12C362 -12 447 89 447 209C447 311 374 393 267 393C247 393 226 386 204 376L137 343ZM227 337C318 337 361 256 361 173C361 105 336 22 258 22C176 22 126 120 126 240C126 266 127 291 132 310C155 323 189 337 227 337Z"></path></g></svg></span></td><td class="align_center"><span style="width: 15.6015ptpx;"><svg height="8.55521pt" id="M247" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -8.34882 15.6015 8.55521" width="15.6015pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g><g transform="matrix(.013,0,0,-0.013,6.24,0)"><path d="M113 -12C146 -12 170 11 170 46C170 78 146 103 114 103S58 78 58 46C58 11 82 -12 113 -12Z"></path></g><g transform="matrix(.013,0,0,-0.013,9.204,0)"><path d="M447 623H65C61 580 56 530 47 475H76C100 541 106 550 172 550H388C308 376 196 170 91 -1L98 -12L172 -2C268 204 360 408 455 611L447 623Z"></path></g></svg></span></td><td class="align_center"><span style="width: 15.6015ptpx;"><svg height="8.55521pt" id="M248" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -8.34882 15.6015 8.55521" width="15.6015pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g><g transform="matrix(.013,0,0,-0.013,6.24,0)"><path d="M113 -12C146 -12 170 11 170 46C170 78 146 103 114 103S58 78 58 46C58 11 82 -12 113 -12Z"></path></g><g transform="matrix(.013,0,0,-0.013,9.204,0)"><path d="M249 635C141 635 70 555 70 471C70 401 114 353 179 316C143 294 106 267 90 252C68 231 45 202 45 157C45 50 130 -12 237 -12C322 -12 435 52 435 169C435 256 372 304 303 343C349 374 375 398 383 407C401 429 411 458 411 487C411 569 344 635 249 635ZM238 603C285 603 337 567 337 482C337 422 310 385 276 358C205 393 145 426 145 500C145 552 179 603 238 603ZM248 20C183 20 125 70 125 163C125 218 158 268 206 300C284 261 355 217 355 143C355 66 308 20 248 20Z"></path></g></svg></span></td><td class="align_center">0.9</td><td class="align_center">0.99</td></tr><tr><td class="thead-hr" colspan="6"><hr/></td></tr><tr><td class="align_left">Option call</td><td class="align_center">0.2634</td><td class="align_center">0.1729</td><td class="align_center"><span style="width: 34.3917ptpx;"><svg height="8.55521pt" id="M249" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -8.34882 34.3917 8.55521" width="34.3917pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g 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width="6.36303pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g></svg></span></td></tr><tr><td class="align_left">Option put</td><td class="align_center">0</td><td class="align_center"><span style="width: 6.36303ptpx;"><svg height="8.55521pt" id="M251" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -8.34882 6.36303 8.55521" width="6.36303pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g></svg></span></td><td class="align_center"><span style="width: 6.36303ptpx;"><svg height="8.55521pt" id="M252" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -8.34882 6.36303 8.55521" width="6.36303pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g></svg></span></td><td class="align_center">0.0081</td><td class="align_center">0.0895</td></tr><tr class="table-tr"><td colspan="6"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>The value of the European call and put options under the different amounts of the strike price, where <span class="nowrap"><svg height="8.55521pt" id="M240" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -8.34882 37.1406 8.55521" width="37.1406pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M484 406C484 429 465 448 438 448C400 448 352 405 302 356L156 213L191 373C195 391 197 404 197 416C197 436 191 448 178 448C151 448 83 406 23 350L37 328C67 350 101 369 109 369C114 369 115 362 111 344L29 -5L34 -12C63 -5 86 -1 111 3C124 73 137 138 147 161C165 180 189 202 206 217C215 194 249 111 275 57C304 -1 319 -12 342 -12C368 -12 405 -5 471 92L454 115C427 80 395 55 384 55C374 55 364 58 341 106L262 274C282 296 367 378 414 378C427 378 440 370 444 367C449 363 454 362 462 368C476 379 484 395 484 406Z"></path></g><g transform="matrix(.013,0,0,-0.013,10.224,0)"><path d="M535 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Mathematical Problems in Engineering

Bond and Option Prices under Skew Vasicek Model with Transaction Cost

Table 7