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| Stochastic Interest Rates for Local Volatility Hybrid Models: Wilmott Magazine Article |
| E. Benhamou, A. Gruz and A. Rivoira |
533 Views |
This paper studies the impact of stochastic interest rates for local volatility hybrids. We first show that we can explicitly determine the bias between the local volatility of a model with stochastic interest rates and the local volatility of the same model but with deterministic interest rates as a function between the correlation of the stochastic interest rates and the digital at the local strike.
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