Stochastic elasticity of variance with stochastic interest rates

DOI10.1016/J.JKSS.2015.03.002zbMath1327.91062OpenAlexW2019198622MaRDI QIDQ892883

Ji-Hun Yoon, Jeong-Hoon Kim, Jung Woo Lee

Publication date: 12 November 2015

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2015.03.002

zbMATH Keywords

averaging principlestochastic interest rateimplied volatilitystochastic elasticity of variance

Mathematics Subject Classification ID

Gaussian processes (60G15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

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Cites Work

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• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• Portfolio optimization under the stochastic elasticity of variance
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