Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate

DOI10.1155/2019/4316272zbMath1420.91439OpenAlexW2911092107MaRDI QIDQ2325143

Guohe Deng, Yanhong Zhong

Publication date: 9 September 2019

Published in: Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/4316272

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Related Items (3)

Option pricing under two-factor stochastic volatility jump-diffusion model ⋮ Evolutionary prediction of nonstationary event popularity dynamics of Weibo social network using time-series characteristics ⋮ Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model

Uses Software

• Derivatives

Cites Work

• Unnamed Item
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