A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility

This paper considers a class of Heath-Jarrow-Morton term structure models with stochastic volatility. These models admit transformations to Markovian systems, and consequently lend themselves to well-established solution techniques for the bond and bond option prices. Solutions for certain special cases are obtained, and compared against their non-stochastic counterparts.

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Year of publication:	2000-03-01
Authors:	Chiarella, Carl ; Kwon, Oh-Kang
Institutions:	Finance Discipline Group, Business School

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Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 34
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004984609