Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility

DOI10.1080/14697688.2010.504734zbMath1229.91326MaRDI QIDQ3005360

Alexander van Haastrecht, Antoon Pelsser

Publication date: 7 June 2011

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

Full work available at URL: http://dare.uva.nl/personal/pure/en/publications/generic-pricing-of-fx-inflation-and-stock-options-under-stochastic-interest-rates-and-stochastic-volatility(9e20a951-43d8-4079-8b42-2273f7fa2355).html

zbMATH Keywords

stochastic volatility; inflation; equity; foreign exchange; stochastic interest rates; hybrids

Mathematics Subject Classification ID

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

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