2 papers
q-fin.MF2026
Short-Rate-Dependent Volatility Models
Tim Leung, Matthew Lorig
We price European options in a class of models in which the volatility of the underlying risky asset depends on the short rate of interest. Our study results in an explicit pricing…
q-fin.MF2022
A primer on perpetuals
Guillermo Angeris, Tarun Chitra, Alex Evans +1
We consider a continuous-time financial market with no arbitrage and no transactions costs. In this setting, we introduce two types of perpetual contracts, one in which the payoff…