Interest Rates Stochastic Volatility Model
The lognormal stochastic volatility model is introduced in the single-factor Cheyette model for interest rate dynamics, demonstrating robustness and accuracy in fitting market implied volatilities.
Featured in No. 38 on 21 Feb 2024 ·
- Released
- 2 Jan 2023
- First featured
- No. 38 · 21 Feb 2024
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- Not yet, as far as Semantic Scholar knows
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- Identifier
- SSRN 4733044
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