Robust Log-normal Stochastic Volatility for Interest Rate Dynamics-Reference-Cited by-同舟云学术

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Robust Log-normal Stochastic Volatility for Interest Rate Dynamics

Published:2022 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Sepp Artur,Rakhmonov Parviz

Publisher

Elsevier BV

Subject

General Earth and Planetary Sciences,General Environmental Science

Reference29 articles.

1. Handbook of mathematical functions with formulas, graphs, and mathematical tables;M Abramowitz,1972

2. Turbo-charging the Cheyette model;J Andreasen;Bank of America working paper,2001

3. Volatile volatilities;L B Andersen;Risk,2002

4. Back to the future;J Andreasen;Risk,2005

5. Robust High-Precision Option Pricing by Fourier Transforms: Contour Deformations and Double-Exponential Quadrature;L B Andersen;Wilmott Magazine,2019

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