Pricing Options with Hybrid Stochastic Volatility Models

DOI10.1007/978-3-319-30379-6_50zbMath1355.91079OpenAlexW2501326810MaRDI QIDQ2958817

Glynis Jones, R. N. 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

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

Related Items (1)

Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model

Cites Work

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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing Interest-Rate-Derivative Securities
• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates

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