A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

SSRN Electronic Journal
doi 10.2139/ssrn.966364
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Elsevier BV

Related search

A Linear Regression Approach for Determining Option Pricing for Currency-Rate Diffusion Model With Dependent Stochastic Volatility, Stochastic Interest Rate, and Return Processes

Journal of Mathematical Finance
2018English

Derivatives Pricing Under Beta Stochastic Volatility Model Using ADI Schemes

Applied Mathematical Sciences
Applied Mathematics
2018English

Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates

Journal of Financial Economics
ManagementFinanceEconomicsStrategyAccountingEconometrics
2010English

Stochastic Volatility Jump-Diffusion Model for Option Pricing

Journal of Mathematical Finance
2011English

Assessing the Compensation for Volatility Risk Implicit in Interest Rate Derivatives

Journal of Empirical Finance
EconomicsFinanceEconometrics
2010English

Estimation of a Structural Stochastic Volatility Model of Asset Pricing

Computational Economics
Computer Science ApplicationsEconomicsEconometricsFinance
2010English

A General Framework for Pricing Asian Options Under Stochastic Volatility on Parallel Architectures

European Journal of Operational Research
Information SystemsSimulationManagement ScienceManagementComputer ScienceModelingOperations Research
2019English

Actuarial Pricing Models of Reverse Mortgage With the Stochastic Interest Rate

2015English

Pricing Interest Rate Caps and Floors Under the Pearson-Sun Interest Rate Model

Applied Mathematical Sciences
Applied Mathematics
2018English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy