Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

DOI10.1023/A:1009860926279zbMath0978.91022OpenAlexW2142712849MaRDI QIDQ4526196

Pieter J. van der Sluis, George J. Jiang

Publication date: 10 February 2002

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009860926279

zbMATH Keywords

stochastic volatilityoption pricingefficient method of moments

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Option valuation with conditional skewness

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