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

DOI10.1080/14697688.2016.1272763zbMath1402.91810MaRDI QIDQ4555139

Maria Cristina Recchioni, Yu Sun, Gabriele Tedeschi

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 models; interest rate modelling; estimation of stochastic systems; volatility modelling; calibration of stochastic volatility

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)