Pricing Options with Hybrid Stochastic Volatility Models

DOI10.1007/978-3-319-30379-6_50MaRDI QIDQ2958817zbMATH OpenOpenAlexFDO

Authors Glynis Jones, R. Makarov

Publication date 3 February 2017

Published in Mathematical and Computational Approaches in Advancing Modern Science and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-30379-6_50

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• scientific article; zbMATH DE number 1790424 (Why is no real title available?)
• Interest rate models -- theory and practice. With smile, inflation and credit
• On the Heston model with stochastic interest rates
• Pricing interest-rate-derivative securities
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
• The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
• The pricing of options and corporate liabilities
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(9)

• Pricing of vulnerable options under hybrid stochastic and local volatility
• Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model
• The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
• Extension of stochastic volatility equity models with the Hull-White interest rate process
• Option pricing with dynamically correlated stochastic interest rate
• Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
• Bifactorial pricing models: light and shadows in correlation role
• scientific article; zbMATH DE number 2221215 (Why is no real title available?)
• CORRELATION ESTIMATION IN HYBRID SYSTEMS

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