Pricing exchange options under hybrid stochastic volatility and interest rate models
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Cites work
- A closed-form GARCH valuation model for power exchange options with counterparty risk
- A closed-form pricing formula for european exchange options with stochastic volatility
- A closed-form pricing formula for European options under the Heston model with stochastic interest rate
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A multifactor volatility Heston model
- A multiscale extension of the Margrabe formula under stochastic volatility
- Analytical valuation of vulnerable European and Asian options in intensity-based models
- Applications of Fourier transform to smile modeling. Theory and implementation.
- Exchange option pricing under stochastic volatility: a correlation expansion
- Exchange options under clustered jump dynamics
- Exchange Options Under Jump-Diffusion Dynamics
- Extension of stochastic volatility equity models with the Hull-White interest rate process
- Full and fast calibration of the Heston stochastic volatility model
- scientific article; zbMATH DE number 3549968 (Why is no real title available?)
- Lifting the Heston model
- On the Heston model with stochastic interest rates
- Option pricing when correlations are stochastic: an analytical framework
- Options with constant underlying elasticity in strikes
- Pricing exchange options with correlated jump diffusion processes
- Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
- Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
- Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion
- Pricing power exchange options with Hawkes jump diffusion processes
- Pricing vulnerable options with stochastic volatility
- Pricing vulnerable power exchange options in an intensity based framework
- Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
- Stochastic pricing formulation for hybrid equity warrants
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- Stock price distributions with stochastic volatility: an analytic approach
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
Cited in
(4)- APPROXIMATE PRICING OF DERIVATIVES UNDER FRACTIONAL STOCHASTIC VOLATILITY MODEL
- Pricing of timer digital power options based on stochstic volatility
- Analyzing short-rate models for efficient bond option pricing: a review
- Pricing of the vulnerable exchange option under the mixed fractional Brownian motion environment
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