Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (Q5397431)

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scientific article; zbMATH DE number 6260383
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Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
scientific article; zbMATH DE number 6260383

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    Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (English)
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    20 February 2014
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    options pricing
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    stochastic volatility
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    currency derivatives
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    continuous-time models
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