American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations

DOI10.1080/1350486X.2012.655935zbMath1457.91367OpenAlexW2052134002MaRDI QIDQ3176517

Svetlana Boyarchenko, Sergei Levendorskii

Publication date: 20 July 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2012.655935

zbMATH Keywords

Lévy processesoptimal stoppingregime switchingAmerican optionsstochastic interest rateHeston modelCIR processstochastic volatility models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

A comparative study on time-efficient methods to price compound options in the Heston model ⋮ A general approach for lookback option pricing under Markov models ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models ⋮ LSV models with stochastic interest rates and correlated jumps ⋮ American options and stochastic interest rates

Cites Work

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