Unspanned stochastic volatility in the multifactor CIR model

DOI10.1111/mafi.12193zbMath1426.91285arXiv1705.02789OpenAlexW2612955365WikidataQ129244577 ScholiaQ129244577MaRDI QIDQ5241564

Francesco Statti, Damir Filipović, Martin Larsson

Publication date: 31 October 2019

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

Full work available at URL: https://arxiv.org/abs/1705.02789

zbMATH Keywords

unspanned stochastic volatilityincomplete bond marketsmultifactor Cox-Ingersoll-Ross model

Mathematics Subject Classification ID

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

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