How arbitrage-free is the Nelson–Siegel model under stochastic volatility?
Year of publication: |
2022
|
---|---|
Authors: | Takamizawa, Hideyuki |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 79.2022, p. 205-223
|
Subject: | Interest rate | Nelson–Siegel model | No-arbitrage | Stochastic volatility | Yield curve | Zinsstruktur | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Zins | Kapitaleinkommen | Capital income |
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