Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
Work
Year: 2017
Type: article
Abstract: The profound financial crisis generated by the collapse of Lehman Brothers and the European sovereign debt crisis in 2011 have caused negative values of government bond yields both in the USA and in t... more
Source: Quantitative Finance
Institutions Marche Polytechnic University, Universitat Jaume I
Cites: 34
Cited by: 14
Related to: 10
FWCI: 1.845
Citation percentile (by year/subfield): 90.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Partnerships for the goals
Open Access status: green
Funder Times Higher Education
Grant ID 15BGL158