A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY

DOI10.1142/S0219024918500231zbMath1395.91465OpenAlexW2801293202WikidataQ129973748 ScholiaQ129973748MaRDI QIDQ4571700

Emilio Russo, Alessandro Staino

Publication date: 29 June 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500231

zbMATH Keywords

stochastic volatilitybinomial algorithmsinterest-sensitive claims

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)

Cites Work

• American stochastic volatility call option pricing: a lattice based approach
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Convergence of numerical methods for valuing path-dependent options using interpolation
• A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
• A Theory of the Term Structure of Interest Rates
• Stochastic volatility for interest rate derivatives
• A tree-based method to price American options in the Heston model
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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