Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility

DOI10.1080/14697688.2010.504734zbMath1229.91326OpenAlexW3124589484MaRDI QIDQ3005360

Alexander van Haastrecht, Antoon Pelsser

Publication date: 7 June 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://dare.uva.nl/personal/pure/en/publications/generic-pricing-of-fx-inflation-and-stock-options-under-stochastic-interest-rates-and-stochastic-volatility(9e20a951-43d8-4079-8b42-2273f7fa2355).html

zbMATH Keywords

stochastic volatilityinflationequityforeign exchangestochastic interest rateshybrids

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (15)

A multi-level dimension reduction Monte-Carlo method for jump-diffusion models ⋮ Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes ⋮ A dimension reduction Shannon-wavelet based method for option pricing ⋮ Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates ⋮ Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility ⋮ Feedback optimal controllers for the Heston model ⋮ An uncertain currency model with floating interest rates ⋮ A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models ⋮ Pricing inflation products with stochastic volatility and stochastic interest rates ⋮ Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets ⋮ Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates ⋮ NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS ⋮ Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method ⋮ Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model ⋮ Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Affine processes and applications in finance
• Pricing and hedging long-term options
• A Theory of the Term Structure of Interest Rates
• COMPLEX LOGARITHMS IN HESTON-LIKE MODELS
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Changes of numéraire, changes of probability measure and option pricing
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• A comparison of biased simulation schemes for stochastic volatility models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing inflation-indexed derivatives

This page was built for publication: Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility