On the Heston model with stochastic interest rates
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Publication:2996525
DOI10.1137/090756119zbMATH Open1229.91338OpenAlexW3123581802MaRDI QIDQ2996525FDOQ2996525
Authors: Lech A. Grzelak, Cornelis W. Oosterlee 
Publication date: 2 May 2011
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: http://resolver.tudelft.nl/uuid:a3246865-fa49-4f41-8368-6e5076d466bf
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stochastic volatilityaffine diffusion processHeston-Cox-Ingersoll-Ross processHeston-Hull-White processinterest rate hybrid models
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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- Pricing variance swaps under double Heston stochastic volatility model with stochastic interest rate
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- Efficient and stable numerical solution of the Heston-Cox-Ingersoll-Ross partial differential equation by alternating direction implicit finite difference schemes
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- Foreign exchange options on Heston-CIR model under Lévy process framework
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