Other studies with stochastic interest rates
On The Heston Model with Stochastic Interest Rates
... the stochastic approximation ...of stochastic interest rates in the model results in a lower vol-vol parameter, γ, and a more negative correlation, ρ x,v ...the interest rate ...
26
On The Heston Model with Stochastic Interest Rates
... and interest rate asset ...constant interest rates in the classical Black-Scholes model [ Black,Scholes-1973 ] can be generalized, and by including the stochastic interest rate process ...
26
Equity Valuation Under Stochastic Interest Rates
... equivalent to the accounting valuation relation even when risk-neutral valuation is employed and interest rates are stochastic. They also show how risk-neutral valuation still implies the irrelevancy ...
34
Investment hysteresis under stochastic interest rates
... under stochastic interest ...to interest rate volatility, the effects of mean reversion are also ...that interest rate uncertainty has a significant impact on NPV, because sizable gains in NPV ...
40
Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
... in other studies, namely overpricing of deep OTM options and underpricing deep ITM ...the interest rate still only has minimal impact on option prices for both the cases of stochastic asset ...
42
Optimal Investment Strategy under Stochastic Interest Rates
... random interest rates. We define the threshold interest rate value below which investment can be effectively done and above which investment is not ...a stochastic differential equation with ...
15
A Brief Survey of Stochastic Properties of Real Interest Rates
... Real interest rate is one of the most important economic ...banks. Stochastic properties of real interest rate is basic ingredient of several econometric models and has some important implications on ...
5
Dynamic Asset Allocation with Stochastic Income and Interest Rates a
... with Stochastic Income and Interest Rates March 25, 2009 ...with stochastic interest rates and with a stochastic labor income that can be instantaneously correlated with ...
63
ANALYSIS OF JOINT LIFE INSURANCE WITH STOCHASTIC INTEREST RATES
... classic interest rate model where the interest rate is deterministic which neglects the possible variation of the future interest ...many stochastic interest rate models has been ...of ...
73
Capital Structure, Debt Maturity, and Stochastic Interest Rates*
... initial interest rate of 7% is close to the long-run mean of ...and stochastic interest rates are similar, and we will focus only on panel C and panel ...
35
European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates
... S K S then the holder will buy the underlying asset from the market and the value of the option is zero. We would like to find a formula for pricing a Euro- pean call option with strike price K and maturity T based ...
11
Pricing American Call Options with Dividend and Stochastic Interest Rates
... The purpose of this article is to developed closed form pricing formula for American stock call options with one given dividend, subject to the Ho-Lee stochastic interest rates model. The correlation ...
24
Dynamic asset allocation for bank under stochastic interest rates.
... [email protected] Abstract: This paper considers the optimal asset allocation strategy for bank with stochastic interest rates when there are three types of asset: Bank account, loans and ...
19
Dynamic asset allocation for bank under stochastic interest rates
... [email protected] Abstract: This paper considers the optimal asset allocation strategy for bank with stochastic interest rates when there are three types of asset: Bank account, loans and ...
19
On cross-currency models with stochastic volatility and correlated interest rates
... (FX); stochastic volatility; Heston model; stochastic interest rates; interest rate smile; forward characteristic function; hybrids; affine diffusion; efficient ...
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On cross currency models with stochastic volatility and correlated interest rates
... (FX); stochastic volatility; Heston model; stochastic interest rates; interest rate smile; forward characteristic function; hybrids; affine diffusion; efficient ...
27
A model for pricing real estate derivatives with stochastic interest rates
... spot interest rate, which in the standard BSM framework is considered as a constant parameter, is properly modeled as a stochastic ...of interest rates and the current term structure of ...
29
Dynamic asset allocation for bank under stochastic interest rates.
... [email protected] Abstract: This paper considers the optimal asset allocation strategy for bank with stochastic interest rates when there are three types of asset: Bank account, loans and ...
19
A model for pricing real estate derivatives with stochastic interest rates
... spot interest rate, which in the standard BSM framework is considered as a constant parameter, is properly modeled as a stochastic ...of interest rates and the current term structure of ...
29
Regime-Switching Stochastic Volatility and Short-Term Interest Rates.
... a stochastic volatility model to explain the behavior of short-term interest ...regime-switching stochastic volatility process for interest rates captures all possible exogenous shocks ...
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