A closed-form pricing formula for European options under the Heston model with stochastic interest rate
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Publication:1743938
DOI10.1016/J.CAM.2017.12.011zbMATH Open1408.91215OpenAlexW2776015677MaRDI QIDQ1743938FDOQ1743938
Authors: Xin-Jiang He, Song-Ping Zhu 
Publication date: 16 April 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=1930&context=eispapers1
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Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- The pricing of options and corporate liabilities
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Stock price distributions with stochastic volatility: an analytic approach
- Extension of stochastic volatility equity models with the Hull-White interest rate process
- On the Heston model with stochastic interest rates
- Title not available (Why is that?)
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
- An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
- Pricing European options with stochastic volatility under the minimal entropy martingale measure
- On the convergence of He and Zhu's new series solution for pricing options with the Heston model
Cited In (28)
- A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
- Mellin transform method for European option pricing with Hull-White stochastic interest rate
- 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
- On the convergence of He and Zhu's new series solution for pricing options with the Heston model
- Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching
- 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
- Valuing a European option under the Heston model with interest rate
- Closed-form convexity and cross-convexity adjustments for Heston prices
- 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
- A closed-form approximation formula for pricing European options under a three-factor model
- 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
- Pricing European options with stochastic volatility under the minimal entropy martingale measure
- An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
- Heston-GA hybrid option pricing model based on ResNet50
- A note on ``A closed-form pricing formula for European options under the Heston model with stochastic interest rate
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