Stochastic volatility corrections for interest rate derivatives

Mathematical Finance

Volumn 14, Issue 2, 2004, Pages 173-200

  Cotton, Peter ^a   Fouque, Jean Pierre ^b   Papanicolaou, George ^a   Sircar, Ronnie ^c  

^a STANFORD UNIVERSITY   (United States)

^b NORTH CAROLINA STATE UNIVERSITY   (United States)

^c Princeton University   (United States)

Author keywords

Asymptotic expressions; Interest rate models; Stochastic volatility

Indexed keywords

EID: 2442453507     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0960-1627.2004.00188.x     Document Type: Article

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