A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

Anders Bjerre Trolle, Eduardo S. Schwartz

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@article{7228af60800e11de8153000ea68e967b,

title = "A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives",

author = "Trolle, {Anders Bjerre} and Schwartz, {Eduardo S.}",

year = "2009",

doi = "10.1093/rfs/hhn040",

language = "English",

volume = "22",

pages = "2007--2057",

journal = "Review of Financial Studies",

issn = "0893-9454",

publisher = "Oxford University Press",

number = "5",

}