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Stehlíková, Beáta; Ševčovič, Daniel

On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility. (English) Zbl 1196.60109

Kybernetika 45, No. 4, 670-680 (2009).
The authors study term structure models with rapidly oscillating stochastic volatility. For a two factor Cox-Ingersoll-Ross model they compute up to order 2 an asymptotic expansion of the bond price with respect to a singular parameter representing the fast scale for the stochastic volatility.
Reviewer: Christian-Oliver Ewald (Sydney)

Cited in 1 Document

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
35K05 Heat equation
62P05 Applications of statistics to actuarial sciences and financial mathematics
35C20 Asymptotic expansions of solutions to PDEs
35B25 Singular perturbations in context of PDEs

Keywords:

Cox-Ingersoll-Ross two factor model; rapidly oscillating volatility; singular limit of solution; asymptotic expansion
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\textit{B. Stehlíková} and \textit{D. Ševčovič}, Kybernetika 45, No. 4, 670--680 (2009; Zbl 1196.60109)
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References:

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