Jacobi stochastic volatility factor for the LIBOR market model

DOI10.1007/s00780-022-00488-5zbMath1498.91427OpenAlexW3041539895MaRDI QIDQ2675815

Pierre-Edouard Arrouy, Bernard Lapeyre, Sophian Mehalla, Alexandre Boumezoued

Publication date: 26 September 2022

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

Full work available at URL: https://doi.org/10.1007/s00780-022-00488-5

zbMATH Keywords

stochastic volatilityLIBOR market modelGram-Charlier expansionexpansion seriesJacobi dynamicspolynomial processes

Mathematics Subject Classification ID

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

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