Stochastic Volatility Corrections for Interest Rate Derivatives
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Publication:4827310
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
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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