Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility
Yuecai Han, Fengtong Zhang
| Year of publication: |
2024
|
|---|---|
| Authors: | Han, Yuecai ; Zhang, Fengtong |
| Subject: | CIR model | Derivative pricing | Term structure | Unspanned stochastic volatility | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Volatilität | Volatility | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Anleihe | Bond | CAPM |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-023-09198-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015133907