Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model

DOI10.1142/S0219493717500034zbMath1354.91158OpenAlexW2314503089MaRDI QIDQ2951895

Jeong-Hoon Kim, Sun-Yong Choi, Ji-Hun Yoon, Youngchul Han

Publication date: 10 January 2017

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493717500034

zbMATH Keywords

stochastic volatilitydefaultable bondquadratic modelbond options

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) Credit risk (91G40)

Cites Work

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• Singular Perturbations in Option Pricing
• Stochastic Volatility Corrections for Interest Rate Derivatives
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing under hybrid stochastic and local volatility

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