Computational aspects of pricing foreign exchange options with stochastic volatility and stochastic interest rates

DOI10.1016/J.JSPI.2009.11.007MaRDI QIDQ2266898zbMATH OpenOpenAlexFDO

Authors Rehez Ahlip, Rik King

Publication date 26 February 2010

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2009.11.007

zbMATH Keywords

computational methodsforeign exchange optionsstochastic volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Recommendations

• FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
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• The valuation of foreign currency options under stochastic interest rates
• scientific article; zbMATH DE number 5260301

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• An equilibrium characterization of the term structure
• Empirical option pricing: A retrospection
• FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
• FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
• scientific article; zbMATH DE number 2147959 (Why is no real title available?)
• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
• scientific article; zbMATH DE number 5054085 (Why is no real title available?)
• Martingale methods in financial modelling.
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension

Cited in

(15)

• On computing the price of financial instruments in foreign currency
• A continuous-time model for valuing foreign exchange options
• An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
• A Gaussian approximation scheme for computation of option prices in stochastic volatility models
• Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives
• Pricing foreign currency options with stochastic volatility
• FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
• A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE
• A non random walk theory of exchange rate dynamics with applications to option pricing
• Forward start foreign exchange options under Heston's volatility and the CIR interest rates
• Quanto option pricing with a jump diffusion process
• Pricing of foreign currency deposit products linked with exchange rate
• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
• State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
• The valuation of foreign currency options under stochastic interest rates

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