Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model

DOI10.1080/14697688.2016.1272763zbMath1402.91810OpenAlexW3122260931MaRDI QIDQ4555139

Maria Cristina Recchioni, Gabriele Tedeschi, Yu Sun

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10234/167208

zbMATH Keywords

stochastic modelsinterest rate modellingestimation of stochastic systemsvolatility modellingcalibration of stochastic volatility

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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