Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models

DOI10.1007/978-1-4939-6969-2_9zbMath1386.91154OpenAlexW2291418225MaRDI QIDQ4604870

Qian Feng, Cornelis W. Oosterlee

Publication date: 6 March 2018

Published in: Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4939-6969-2_9

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (3)

BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems ⋮ Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model ⋮ Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model

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