Stochastic Volatility Corrections for Interest Rate Derivatives

DOI10.1111/j.0960-1627.2004.00188.xzbMath1124.91331OpenAlexW3125164112MaRDI QIDQ4827310

Peter Cotton, Ronnie Sircar, Jean-Pierre Fouque, George S. Papanicolaou

Publication date: 16 November 2004

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

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00188.x

zbMATH Keywords

asymptotic expressions

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• Financial modeling in a fast mean-reverting stochastic volatility environment
• MEAN-REVERTING STOCHASTIC VOLATILITY
• FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES
• Singular Perturbations in Option Pricing
• An equilibrium characterization of the term structure

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