Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model (Q4555139): Difference between revisions
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Latest revision as of 23:16, 19 March 2024
scientific article; zbMATH DE number 6981255
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model |
scientific article; zbMATH DE number 6981255 |
Statements
Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model (English)
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19 November 2018
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volatility modelling
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interest rate modelling
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stochastic models
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calibration of stochastic volatility
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estimation of stochastic systems
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