FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES

DOI10.1142/S0219024909005166zbMath1185.91170OpenAlexW1994441648MaRDI QIDQ5324401

Rehez Ahlip, Marek Rutkowski

Publication date: 3 August 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005166

Mathematics Subject Classification ID

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

Related Items

Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes ⋮ RANDOM TIME FORWARD-STARTING OPTIONS ⋮ Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates ⋮ NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS ⋮ Hybrid Lévy Models: Design and Computational Aspects ⋮ Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model ⋮ A unified approach to pricing and risk management of equity and credit risk

Cites Work

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• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• On the martingale property of stochastic exponentials
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options