An extension of Heston's SV model to stochastic interest rates

DOI10.1016/j.cam.2018.09.010zbMath1410.91468arXiv1809.09069OpenAlexW2953232289MaRDI QIDQ2423541

Víctor Gatón, Javier de Frutos

Publication date: 20 June 2019

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

Full work available at URL: https://arxiv.org/abs/1809.09069

zbMATH Keywords

stochastic volatilityoption pricingstochastic interest rates

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

Special issue: Selected papers of CMMSE

Cites Work

• Chebyshev reduced basis function applied to option valuation
• A Theory of the Term Structure of Interest Rates
• An Intertemporal General Equilibrium Model of Asset Prices
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Arbitrage Theory in Continuous Time

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