Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates
From MaRDI portal
Publication:4561924
DOI10.1007/978-3-319-02069-3_1zbMath1418.91497OpenAlexW2236214808MaRDI QIDQ4561924
Publication date: 13 December 2018
Published in: Inspired by Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_1
Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- Unnamed Item
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
- Martingale methods in financial modelling.
- Mathematical methods for financial markets.
- On the pricing of forward starting options in Heston's model on stochastic volatility
- A Theory of the Term Structure of Interest Rates
- Extension of stochastic volatility equity models with the Hull–White interest rate process
- On the Heston Model with Stochastic Interest Rates
- Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
- Numerical Methods and Volatility Models for Valuing Cliquet Options
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- On the martingale property of stochastic exponentials
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
- An equilibrium characterization of the term structure
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
This page was built for publication: Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates
