A note on ``A closed-form pricing formula for European options under the Heston model with stochastic interest rate

DOI10.1016/j.cam.2018.10.002zbMath1419.91626OpenAlexW2897121070MaRDI QIDQ1713146

Xinfeng Ruan, Wen-Jun Zhang

Publication date: 24 January 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.10.002

zbMATH Keywords

European optionaffine modelHeston-CIR

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A closed-form pricing formula for European options under the Heston model with stochastic interest rate
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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