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CEV model combined with stochastic interest rates?
Did somebody already combine a CEV model for equities under stochastic interest rates? Is there a closed form solution available for the calibration?
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- Jonathan81
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CEV model combined with stochastic interest rates?
Hi, You can use V.Piterbarg's paper on PRDC, in this paper V. Piterbarg gives a proxy scheme for calibration :http://papers.ssrn.com/sol3/papers.cfm? ... 84RegardsJ
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- horacioaliaga
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CEV model combined with stochastic interest rates?
This is the Heston Model
Last edited by horacioaliaga on March 22nd, 2008, 11:00 pm, edited 1 time in total.