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A path-independent humped volatility model for option pricing
Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: Applied mathematical finance 20 (2013) 3/4, pp. 191-210
Persistent link: https://www.econbiz.de/10010187670
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Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373
Persistent link: https://www.econbiz.de/10011938138
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Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Bishwal, Jaya Prakasah Narayan - In: Algorithmic finance 10 (2023) 1/2, pp. 53-66
Persistent link: https://www.econbiz.de/10014474576
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Extended Libor market models with stochastic volatility
Andersen, Leif B. G.; Brotherton-Ratcliffe, Rupert - In: The journal of computational finance 9 (2005) 1, pp. 1-40
Persistent link: https://www.econbiz.de/10003191097
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Stochastic Volatility for Interest Rate Derivatives
Kaisajuntti, Linus - 2019
to identify a two-dimensional stochastic volatility process for the level of rates. The process is identified step by … Heston stochastic volatility models informs about what different specifications of the driving SDEs has to offer in terms of …-dependent volatility function and a mean reverting volatility process. The performance of the extended (SABR with mean-reversion) model is …
Persistent link: https://www.econbiz.de/10012905853
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A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen; Kerkhof, Franciscus Lambertus Johannes - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
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SOFR term structure dynamics : discontinuous short rates and stochastic volatility forward rates
Brace, Alan; Gellert, Karol; Schlögl, Erik - In: The journal of futures markets 44 (2024) 6, pp. 936-985
Persistent link: https://www.econbiz.de/10014536708
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Pricing vulnerable options with stochastic volatility and stochastic interest rate
Ma, Chaoqun; Yue, Shengjie; Wu, Hui; Ma, Yong - In: Computational economics 56 (2020) 2, pp. 391-429
Persistent link: https://www.econbiz.de/10012272041
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Numerical Solutions of PIDEs for the Prices of Bond Options, Swaps, Caps and Floors for Levy-Based Stochastic Interest Rate Models
Malyarenko, Anatoliy - 2010
In this paper, we show numerically how to calculate the price of bond options, swaps, caps and floors for Levy one-factor stochastic interest rate models via partial integro-differential equations (PIDE). These models include, in particular, Ornshtein-Uhlenbeck (1930), Vasicek (1977),...
Persistent link: https://www.econbiz.de/10013144189
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Efficient solutions for pricing and hedging interest rate Asian options
Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - 2020
Persistent link: https://www.econbiz.de/10012171315