A moment matching method for option pricing under stochastic interest rates

DOI10.1002/ASMB.2624MaRDI QIDQ6579672FDOQ6579672

Authors: Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti 

Publication date: 25 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

option pricingstochastic interest ratesmoment matchingCox-Ingersoll-Ross modelnon-affine models

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Title not available (Why is that?)
• On the Heston model with stochastic interest rates
• A comparison of biased simulation schemes for stochastic volatility models
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• Pricing and hedging long-term options
• The small-time smile and term structure of implied volatility under the Heston model
• Asymptotic formulae for implied volatility in the Heston model
• Option pricing under stochastic interest rates: an empirical investigation
• Pricing options under stochastic interest rates: a new approach
• Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures

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