Short-rate-dependent volatility models

DOI10.1007/S10436-026-00488-XMaRDI QIDQ7305195zbMATH OpenFDO

Authors Tim Leung, Matthew Lorig

Publication date 29 July 2026

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10436-026-00488-X

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• An interest rate model with upper and lower bounds
• scientific article; zbMATH DE number 5354344 (Why is no real title available?)
• On the Heston model with stochastic interest rates
• PDE and martingale methods in option pricing.
• The VIX, the variance premium and stock market volatility
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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