l**********t
发帖数: 5754 | 1 can anyone point me to references on joint modelling stochastic vol &
interest rate in valuing long term options. thanks. |
h*y
发帖数: 1289 | 2 it makes sense to use stochastic ir model for long term option but vol
surface tends to be flat for long term. not sure if it can add too much
value.
anyway you may google hybrid model. I have an equity hybrid book on my
office desk, will check for u tmr
【在 l**********t 的大作中提到】
: can anyone point me to references on joint modelling stochastic vol &
: interest rate in valuing long term options. thanks.
|
l**********t
发帖数: 5754 | 3 thanks 披着狼皮的羊. I'll google hybrid model. The name of the hybrid book
would be very helpful too.
【在 h*y 的大作中提到】
: it makes sense to use stochastic ir model for long term option but vol
: surface tends to be flat for long term. not sure if it can add too much
: value.
: anyway you may google hybrid model. I have an equity hybrid book on my
: office desk, will check for u tmr
|
l***u
发帖数: 91 | 4 what exactly are you trying to capture with stoch vol? |
