On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures

zbMath1381.91002arXiv0811.0473MaRDI QIDQ3144592

Beata Stehlíková, Daniel Ševčovič

Publication date: 8 December 2012

Full work available at URL: https://arxiv.org/abs/0811.0473

zbMATH Keywords

stochastic differential equationstochastic volatilityaveraginggeneralized Fong-Vasicek interest rate modellimiting densitytwo-factor term structure model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Asymptotic expansions of solutions to PDEs (35C20)

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