Bond pricing under mixed generalized CIR model with mixed Wishart volatility process

This paper proposes an extended version of the Cox-Ingersoll-Ross (CIR) model with stochastic volatility and a pricing method on zero-coupon bond under this model. In this version, we replace the standard Brownian motion process with a semi-martingale process named the mixed fractional Brownian motion (mfBm) process which is a linear combination of a fractional Brownian motion (fBm) and a standard Brownian motion. We assume that the part of the volatility process follows a mixed Wishart process which defines by the square of the matrix-valued mfBm process. In order to evaluate the price of the zero-coupon bond under the proposed model we use Monte Carlo simulation method. The computed values of the zero-coupon bond compare with the other interest rate models.