FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES

DOI10.1142/S0219024909005166MaRDI QIDQ5324401zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
• Numerical Methods and Volatility Models for Valuing Cliquet Options
• On the martingale property of stochastic exponentials
• On the pricing of forward starting options in Heston's model on stochastic volatility
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(10)

• Hybrid Lévy models: design and computational aspects
• Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes
• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
• A unified approach to pricing and risk management of equity and credit risk
• Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
• Nearly exact option price simulation using characteristic functions
• A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model
• RANDOM TIME FORWARD-STARTING OPTIONS
• Expressions of forward starting option price in Hull-White stochastic volatility model
• Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model

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