A moment matching method for option pricing under stochastic interest rates

DOI10.1002/ASMB.2624MaRDI QIDQ6579672zbMATH OpenFDO

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)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

zbMATH Keywords

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

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A comparison of biased simulation schemes for stochastic volatility models
• Asymptotic formulae for implied volatility in the Heston model
• Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
• On the Heston model with stochastic interest rates
• Option pricing under stochastic interest rates: an empirical investigation
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• Pricing and hedging long-term options
• Pricing options under stochastic interest rates: a new approach
• The small-time smile and term structure of implied volatility under the Heston model
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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