Volatility level dependence and the CEV market model
Interest-rate volatility is known to be level-dependent. However, Filipovic, Larsson and Trolle (2017) found that volatility becomes more level-dependent as the interest rate approaches the zero lower bound. This varying volatility level-dependence feature motivates the use of CEV market model to mo...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Dissertation |
| Language: | English |
| Published: |
Faculty of Commerce
2021
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/11427/33066 |