2 papers
q-fin.CP2008
On the singular limit of solutions to the CIR interest rate model with stochastic volatility
B. Stehlikova, D. Sevcovic
In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox-…
q-fin.PR2008
Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis
Beata Stehlikova, Daniel Sevcovic
We analyze analytic approximation formulae for pricing zero-coupon bonds in the case when the short-term interest rate is driven by a one-factor mean-reverting process with a volat…