Yuecai Han, Yinong Wu, Xudong Zheng
Abstract:
This article concerns the pricing of callable bonds and the determination of optimal
call time under the fractional Black-Scholes model. By employing a discrete
approximation of the continuous asset price process, we efficiently estimate the
continuation value as well as the optimal callable time, and analyze the path-dependent
nature of the asset dynamics under the fractional Black-Scholes model.
We ensure the accuracy of the numerical estimation and perform numerical experiments
to illustrate the effectiveness of the proposed method.
Submitted August 8, 2025. Published February 6, 2026.
Math Subject Classifications: 91G20, 60G22, 91G60.
Key Words: Callable bond pricing; deep learning; optimal stopping; fractional Brownian motion.
DOI: 10.58997/ejde.2026.09
Show me the PDF file (360 KB), TEX file for this article.
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Yuecai Han School of Mathematics Jilin University Changchun, 130012, Jilin, China email: hanyc@jlu.edu.cn |
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Yinong Wu School of Mathematics Jilin University Changchun, 130012, Jilin, China email: wuyn22@mails.jlu.edu.cn |
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Xudong Zheng School of Mathematics Jilin University Changchun, 130012, Jilin, China email: zxd22@mails.jlu.edu.cn |
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