A closed-form pricing formula for European options under the Heston model with stochastic interest rate
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Cites work
- scientific article; zbMATH DE number 1409619 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
- Extension of stochastic volatility equity models with the Hull-White interest rate process
- On the Heston model with stochastic interest rates
- On the convergence of He and Zhu's new series solution for pricing options with the Heston model
- Pricing European options with stochastic volatility under the minimal entropy martingale measure
- Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- Stock price distributions with stochastic volatility: an analytic approach
- The pricing of options and corporate liabilities
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- Pricing generalized variance swaps under the Heston model with stochastic interest rates
- Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
- Option pricing under jump diffusion model
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- On the convergence of He and Zhu's new series solution for pricing options with the Heston model
- Stochastic pricing formulation for hybrid equity warrants
- Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model
- Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility
- A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate
- Application of power series approximation techniques to valuation of European style options
- Option pricing under the Heston model where the interest rate follows the Vasicek model
- Closed-form convexity and cross-convexity adjustments for Heston prices
- Valuing a European option under the Heston model with interest rate
- Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate
- Closed-form formulae for European options under three-factor models
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- A regime switching fractional Black-Scholes model and European option pricing
- Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
- Pricing exchange options under hybrid stochastic volatility and interest rate models
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- An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
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