Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

DOI10.1023/A:1009860926279MaRDI QIDQ4526196zbMATH OpenOpenAlexFDO

Authors George J. Jiang, Pieter J. van der Sluis

Publication date 10 February 2002

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009860926279

zbMATH Keywords

efficient method of momentsoption pricingstochastic volatility

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)

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• Option valuation with conditional skewness
• Stock index dynamics and derivatives pricing with stochastic interest rates
• Comment on ‘Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates’
• Index options and volatility derivatives in a Gaussian random field risk-neutral density model
• scientific article; zbMATH DE number 1867095 (Why is no real title available?)

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