Analytical formulas for a local volatility model with stochastic rates

DOI10.1080/14697688.2010.523011zbMath1247.91177MaRDI QIDQ2893202

Emmanuel Gobet, Eric Benhamou, Mohammed Miri

Publication date: 26 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.523011

zbMATH Keywords

option pricing; interest rates; stochastic analysis; computational finance; multi-factor models; mathematics of finance; equity options

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model, A novel Monte Carlo approach to hybrid local volatility models, New Approximations in Local Volatility Models, EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL, EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION, EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS, An explicitly solvable Heston model with stochastic interest rate, Weak approximation of averaged diffusion processes

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