Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
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Publication:5397431
DOI10.1080/14697688.2013.769688zbMath1281.91150OpenAlexW1986044066MaRDI QIDQ5397431
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.769688
Related Items (22)
Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes ⋮ A Gaussian radial basis function-finite difference technique to simulate the HCIR equation ⋮ A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model ⋮ A dimension reduction Shannon-wavelet based method for option pricing ⋮ Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk ⋮ JOINING THE HESTON AND A THREE-FACTOR SHORT RATE MODEL: A CLOSED-FORM APPROACH ⋮ Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates ⋮ Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility ⋮ Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate ⋮ Pricing Options with Hybrid Stochastic Volatility Models ⋮ Stochastic Gradient Descent in Continuous Time ⋮ Foreign exchange options on Heston-CIR model under Lévy process framework ⋮ A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models ⋮ Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets ⋮ Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching ⋮ Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method ⋮ Hybrid Lévy Models: Design and Computational Aspects ⋮ Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model ⋮ Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance ⋮ Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process ⋮ Improved maximum likelihood estimation of Heston model and pricing efficiency test: Hong Kong Hang Seng index option ⋮ Computation of powered option prices under a general model for underlying asset dynamics
Cites Work
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- On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
- An equilibrium characterization of the term structure
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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