Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates

DOI10.1080/14697688.2015.1118528zbMath1465.91116OpenAlexW2199284178MaRDI QIDQ5001185

Mark S. Joshi, Navin Ranasinghe

Publication date: 16 July 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2015.1118528

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

OPTION PRICING USING STOCHASTIC VOLATILITY MODEL UNDER FOURIER TRANSFORM OF NONLINEAR DIFFERENTIAL EQUATION ⋮ Stochastic interest model based on compound Poisson process and applications in actuarial science ⋮ Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods

Cites Work

• Unnamed Item
• Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
• Valuation of volatility derivatives as an inverse problem
• Pricing Interest-Rate-Derivative Securities

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