Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level

DOI10.1017/S1446181124000130MaRDI QIDQ6656032zbMATH OpenFDO

Authors Xin-Jiang He, Sha Lin

Publication date 31 December 2024

Published in The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S1446181124000130

zbMATH Keywords

closed-formempirical studyEuropean optionsstochastic long-run equilibrium leveltwo-factor stochastic interest rate model

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
• Adaptive simulated annealing for optimization in signal processing applications
• An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
• An equilibrium characterization of the term structure
• An FFT approach for option pricing under a regime-switching stochastic interest rate model
• Analytically pricing European options with a two-factor Stein-Stein model
• Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Interest rate models -- theory and practice. With smile, inflation and credit
• On Markov‐modulated Exponential‐affine Bond Price Formulae
• On the Heston model with stochastic interest rates
• On the theory of the Brownian motion.
• Optimization by simulated annealing
• Pricing interest-rate-derivative securities
• Pricing options under stochastic interest rates: a new approach
• Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options and corporate liabilities
• Valuation of European options with stochastic interest rates and transaction costs
• Very fast simulated re-annealing

Cited in

(2)

• Valuing a European option under the Heston model with interest rate
• Options pricing with Markov regime switching Heston volatility Hull-White interest rates and stochastic intensity

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