An affine model for short rates when monetary policy is path dependent

DOI10.1007/s11147-024-09202-3zbMath1546.91255MaRDI QIDQ6594916

Haitham A. Al-Zoubi

Publication date: 29 August 2024

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilitycontinuous-time estimationshort ratesoption options

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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