Heston, Steven L.; Nandi, Saikat - 1999
options on discount bonds (and futures) as well as other interest rate derivatives such as caps, floors, average rate options …, yield curve options, etc. The advantage of our discrete-time model over continuous-time stochastic volatility models is that … rate options, the average rate can be exactly computed because, in practice, the payoff at maturity is based on the average …