Pages that link to "Item:Q2996525"

The following pages link to On the Heston Model with Stochastic Interest Rates (Q2996525):

Displaying 50 items.

• Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes (Q2874319) (← links)
• Pricing Options with Hybrid Stochastic Volatility Models (Q2958817) (← links)
• JOINING THE HESTON AND A THREE-FACTOR SHORT RATE MODEL: A CLOSED-FORM APPROACH (Q3467603) (← links)
• Calibrating a market model with stochastic volatility to commodity and interest rate risk (Q4555116) (← links)
• Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model (Q4555139) (← links)
• A novel Monte Carlo approach to hybrid local volatility models (Q4555144) (← links)
• HARA utility maximization in a Markov-switching bond–stock market (Q4555174) (← links)
• On Singularities in the Heston Model (Q4560340) (← links)
• Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates (Q4561924) (← links)
• Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models (Q4604870) (← links)
• A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models (Q4610213) (← links)
• Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets (Q4635245) (← links)
• Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model (Q4682470) (← links)
• Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance (Q4682492) (← links)
• Convertible bond valuation in a jump diffusion setting with stochastic interest rates (Q4682998) (← links)
• EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL (Q4902546) (← links)
• LSV models with stochastic interest rates and correlated jumps (Q4976326) (← links)
• Application of power series approximation techniques to valuation of European style options (Q5014193) (← links)
• An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate (Q5030552) (← links)
• BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems (Q5031725) (← links)
• Least-square-based control variate method for pricing options under general factor models (Q5031850) (← links)
• PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE (Q5051186) (← links)
• On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions (Q5055127) (← links)
• Calibration of the temporally varying volatility and interest rate functions (Q5072033) (← links)
• Cheapest-to-deliver collateral: a common factor approach (Q5079362) (← links)
• Option pricing under the Heston model where the interest rate follows the Vasicek model (Q5079996) (← links)
• (Q5080606) (← links)
• Pricing multi-asset American option under Heston-CIR diffusion model with jumps (Q5082773) (← links)
• A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps (Q5093699) (← links)
• A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL (Q5112597) (← links)
• The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure (Q5146449) (← links)
• NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS (Q5207491) (← links)
• Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method (Q5234308) (← links)
• On the modelling of nested risk-neutral stochastic processes with applications in insurance (Q5373909) (← links)
• EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE (Q5384679) (← links)
• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (Q5397431) (← links)
• Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method (Q5742499) (← links)
• Wrong way risk corrections to CVA in CIR reduced-form models (Q6060556) (← links)
• CORRELATION ESTIMATION IN HYBRID SYSTEMS (Q6095477) (← links)
• Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk (Q6126076) (← links)
• Multilevel Monte Carlo simulation for the Heston stochastic volatility model (Q6144993) (← links)
• Option pricing under double stochastic volatility model with stochastic interest rates and double exponential jumps with stochastic intensity (Q6534650) (← links)
• Foreign exchange option pricing under the 4/2 stochastic volatility model with CIR interest rates. (Q6541106) (← links)
• A new bivariate approach for modeling the interaction between stock volatility and interest rate: an application to S\&P500 returns and options (Q6556120) (← links)
• On pricing options under two stochastic volatility processes (Q6569311) (← links)
• A moment matching method for option pricing under stochastic interest rates (Q6579672) (← links)
• Valuing a European option under the Heston model with interest rate (Q6621062) (← links)
• Pricing exchange options under hybrid stochastic volatility and interest rate models (Q6653510) (← links)
• Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level (Q6656032) (← links)
• Impact of correlation between interest rates and mortality rates on the valuation of various life insurance products (Q6668690) (← links)