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>Hi,
>
>I am trying to simulate by a two-factor tree an interest rate (vasicek)
>with
>a stochastic volatility (lognormal). I am compelled to bound the vol to
>prevent the gridsize to increase with the volatility.
>This give me results (caplet prices) that are almost the same for a vol of
>vol of 10% and the constant volatility case.
>Is there any paper/refernce on how to build tree to simulate the diffusion
>of asset/interest rate with stochastic volatility?
>Thanking you.
>Jay.
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