A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

By Anders B. Trolle, Eduardo S. Schwartz. 2009

146 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ed96b8f3d82d1f460554e1a64e7b8be9ee241ba8

Citations in the corpus

• Regime-switching stochastic volatility model: estimation and calibration to VIX options (2017, unknown): “This lemma is closely related to derivations of the characteristic function of processes whose volatility is driven by a CIR process with piecewise constant parameters, as considered in Wu and Zhang (2008) for the pricing of interest rate derivatives.”