Pages that link to "Item:Q320946"
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The following pages link to An explicitly solvable Heston model with stochastic interest rate (Q320946):
Displaying 11 items.
- A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean (Q829337) (← links)
- From bond yield to macroeconomic instability: a parsimonious affine model (Q1683157) (← links)
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
- The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications (Q2030533) (← links)
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation (Q2098074) (← links)
- Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump? (Q2240016) (← links)
- Optimal dynamic longevity hedge with basis risk (Q2242224) (← links)
- Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model (Q4555139) (← links)
- HARA utility maximization in a Markov-switching bond–stock market (Q4555174) (← links)
- Option pricing under the Heston model where the interest rate follows the Vasicek model (Q5079996) (← links)
- A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps (Q5093699) (← links)
