Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model

DOI10.1080/14697688.2016.1272763zbMath1402.91810OpenAlexW3122260931MaRDI QIDQ4555139

Maria Cristina Recchioni, Gabriele Tedeschi, Yu Sun

Publication date: 19 November 2018

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

Full work available at URL: http://hdl.handle.net/10234/167208

zbMATH Keywords

stochastic modelsinterest rate modellingestimation of stochastic systemsvolatility modellingcalibration of stochastic volatility

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Black's model in a negative interest rate environment, with application to OTC derivatives ⋮ A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean ⋮ Stochastic pricing formulation for hybrid equity warrants ⋮ Option pricing under the Heston model where the interest rate follows the Vasicek model ⋮ Asymmetric short-rate model without lower bound ⋮ Unnamed Item

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