A Dual-Curve Short Rate Model with Multi-Factor Stochastic Volatility: I. Asymptotic Analysis

2015 ◽  
Author(s):  
Andrew Lesniewski ◽  
Sun Heng ◽  
Qi Wu
Keyword(s):  
Asymptotic Analysis ◽  
Stochastic Volatility ◽  
Rate Model ◽  
Dual Curve

Dual-curve Hull–White interest rate model with stochastic volatility

2017 ◽  
Vol 34 (3) ◽  
pp. 711-745
Author(s):  
Mei Choi Chiu ◽  
Wanyang Liang ◽  
Hoi Ying Wong
Keyword(s):  
Interest Rate ◽  
Stochastic Volatility ◽  
Rate Model ◽  
Interest Rate Model ◽  
Dual Curve

scholarly journals European option pricing with transaction costs and stochastic volatility: an asymptotic analysis

2014 ◽  
Vol 80 (4) ◽  
pp. 981-1008 ◽  
Author(s):  
R. E. Caflisch ◽  
G. Gambino ◽  
M. Sammartino ◽  
C. Sgarra
Keyword(s):  
Asymptotic Analysis ◽  
Option Pricing ◽  
Transaction Costs ◽  
Stochastic Volatility ◽  
European Option ◽  
European Option Pricing

scholarly journals Asymptotic Analysis for Stochastic Volatility: Edgeworth Expansion

2011 ◽  
Vol 16 (0) ◽  
pp. 764-791 ◽  
Author(s):  
Masaaki Fukasawa
Keyword(s):  
Asymptotic Analysis ◽  
Stochastic Volatility ◽  
Edgeworth Expansion
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