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Mathematical Problems in Engineering
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2021
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Article
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Tab 8
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Research Article
Bond and Option Prices under Skew Vasicek Model with Transaction Cost
Table 8
The value of the European call and put options and zero coupon bond under the different amounts of the skew parameters, where
,
,
,
,
,
and
.
Skew parameter (
)
0.1
0.15
0.2
Bond
0.9919
0.9083
0.5409
0.2433
Option call
0.3094
0.2337
0
0
Option put
0
0.4051
0.5490