FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES

DOI10.1142/S0219024908004804zbMath1153.91449MaRDI QIDQ3520339

Rehez Ahlip

Publication date: 26 August 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of branching processes (60J85)

Related Items (7)

A multivariate stochastic volatility model with applications in the foreign exchange market ⋮ An explicitly solvable Heston model with stochastic interest rate ⋮ Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model ⋮ JOINING THE HESTON AND A THREE-FACTOR SHORT RATE MODEL: A CLOSED-FORM APPROACH ⋮ FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES ⋮ Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility ⋮ Computational aspects of pricing foreign exchange options with stochastic volatility and stochastic interest rates

Cites Work

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