American options in the Heston model with stochastic interest rate and its generalizations

DOI10.1080/1350486X.2012.655935zbMATH Open1457.91367OpenAlexW2052134002MaRDI QIDQ3176517FDOQ3176517

Authors: Svetlana Boyarchenko, Sergei Levendorskiĭ 

Publication date: 20 July 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2012.655935

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zbMATH Keywords

regime switchingCIR processoptimal stoppingAmerican optionsstochastic volatility modelsHeston modelstochastic interest rateLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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Cited In (10)

• A transform-based method for pricing Asian options under general two-dimensional models
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
• A comparative study on time-efficient methods to price compound options in the Heston model
• American options in Lévy models with stochastic interest rates
• Efficient evaluation of double-barrier options
• American options and stochastic interest rates
• Variational Formulation of American Option Prices in the Heston Model
• LSV models with stochastic interest rates and correlated jumps
• A general approach for lookback option pricing under Markov models
• The American put with finite‐time maturity and stochastic interest rate

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