Geodesic
On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility
Kybernetika, Tome 45 (2009) no. 4, pp. 670-680 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

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In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox–Ingersoll–Ross two factors model describing clustering of interest rate volatilities. The main goal is to derive an asymptotic expansion of the bond price with respect to a singular parameter representing the fast scale for the stochastic volatility process. We derive the second order asymptotic expansion of a solution to the two factors generalized CIR model and we show that the first two terms in the expansion are independent of the variable representing stochastic volatility.
In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox–Ingersoll–Ross two factors model describing clustering of interest rate volatilities. The main goal is to derive an asymptotic expansion of the bond price with respect to a singular parameter representing the fast scale for the stochastic volatility process. We derive the second order asymptotic expansion of a solution to the two factors generalized CIR model and we show that the first two terms in the expansion are independent of the variable representing stochastic volatility.
Classification : 35B25, 35C20, 35K05, 35R60, 60H10, 62P05, 91B70, 91G30
Keywords: Cox–Ingersoll–Ross two factors model; rapidly oscillating volatility; singular limit of solution; asymptotic expansion 
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Stehlíková, Beáta; Ševčovič, Daniel. On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility. Kybernetika, Tome 45 (2009) no. 4, pp. 670-680. http://geodesic.mathdoc.fr/item/KYB_2009_45_4_a10/

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