A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

被引：53

作者：

Trolle, Anders B. ^{[1
]}

Schwartz, Eduardo S. ^{[2
,3
]}

机构：

[1] Copenhagen Sch Econ & Business Adm, DK-2000 Frederiksberg, Denmark

[2] Univ Calif Los Angeles, Anderson Sch Management, Los Angeles, CA 90024 USA

[3] NBER, Cambridge, MA 02138 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2009年 / 22卷 / 05期

关键词：

E43; G13; TERM STRUCTURE MODELS; COUPON-BOND OPTIONS; AFFINE MODELS; CONTINGENT CLAIMS; HUMPED VOLATILITY; SWAPTIONS; DYNAMICS; VALUATION; PREMIA; YIELDS;

D O I：

10.1093/rfs/hhn040

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analytical prices of zero-coupon bond options, and dynamics of the forward rate curve, under both the actual and risk-neutral measures, in terms of a finite-dimensional affine state vector. The model has a very good fit to an extensive panel dataset of interest rates, swaptions, and caps. In particular, the model matches the implied cap skews and the dynamics of implied volatilities.

引用

页码：2007 / 2057

页数：51

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