An explicitly solvable Heston model with stochastic interest rate

DOI10.1016/j.ejor.2015.09.035zbMath1348.91274OpenAlexW3123501978MaRDI QIDQ320946

Yu Sun, Maria Cristina Recchioni

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.09.035

zbMATH Keywords

option pricingfinancecalibration procedurestochastic volatility models

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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