Purpose – The purpose of this paper is to derive semi-closed-form solutions to a wide variety of interest rate derivatives prices under stochastic volatility in affine-term structure models. Design/methodology/approach –The paper first derives the Frobenius series solution to the...

Purpose – The purpose of this paper is to derive semi‐closed‐form solutions to a wide variety of interest rate derivatives prices under stochastic volatility in affine‐term structure models. Design/methodology/approach – The paper first derives the Frobenius series solution to the...