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Título: The risk-neutral stochastic volatility in interest rate models with jump–diffusion processes
Autor: Gómez del Valle, María Lourdes
Martínez Rodríguez, Julia
Año del Documento: 2019
Editorial: Elsevier
Descripción: Producción Científica
Documento Fuente: Journal of Computational and Applied Mathematics, vol. 347, p. 49–61.
Resumen: In this paper, we consider a two-factor interest rate model with stochastic volatility and we propose that the interest rate follows a jump-di ffusion process. The estimation of the market price of risk is an open question in two-factor jump-di ffusion term structure models when a closed-form solution is not known. We prove some results that relate the slope of the yield curves, interest rates and volatility with the functions of the processes under the risk-neutral measure. These relations allow us to estimate all the functions with the bond prices observed in the markets. Moreover, the market prices of risk, which are unobservable, can be easily obtained. Then, we can solve the pricing problem. An application to US Treasury Bill data is illustrated and a comparison with a one-factor model is showed. Finally, the e ect of the change of measure on the jump intensity and jump distribution is analyzed.
Materias (normalizadas): Economía y empresa
Revisión por Pares: SI
DOI: https://doi.org/10.1016/j.cam.2018.07.048
Patrocinador: Ministerio de Ciencia e Innovación (Proyect MTM2017-85476-C2-P)
Junta de Castilla y León and European FEDER Funds (VA041P17)
Junta de Castilla y León (VA148G18)
Version del Editor: https://www.sciencedirect.com/science/article/pii/S0377042718304758
Idioma: eng
URI: http://uvadoc.uva.es/handle/10324/32346
Derechos: info:eu-repo/semantics/openAccess
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