Volatility Level Dependence and Linear-Rational Term Structure Models

We outline a subclass of linear-rational term structure models, based on CEV dynamics. A tractable and arbitrage-free term structure results from the linear-rational aspect of the model, independently of the term-structure volatility dynamics that follow from the CEV specification. This specificatio...

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Veröffentlicht in:	Emerging markets finance & trade 2022-10, Vol.58 (13), p.3622-3638
Hauptverfasser:	Backwell, Alex, Ramnarayan, Kalind
Format:	Artikel
Sprache:	eng
Schlagworte:	Interest-rate volatility linear-rational models term structure models volatility-level dependence
Online-Zugang:	Volltext
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