Option pricing under the Heston model where the interest rate follows the Vasicek model

DOI10.1080/03610926.2019.1678643OpenAlexW2980837686MaRDI QIDQ5079996

Zhidong Guo

Publication date: 30 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1678643

zbMATH Keywords

option pricingstochastic interest ratestochastic volatility modelnegative interest rate

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Stochastic pricing formulation for hybrid equity warrants ⋮ Heston-GA hybrid option pricing model based on ResNet50

Cites Work

• The Pricing of Options and Corporate Liabilities
• An explicitly solvable Heston model with stochastic interest rate
• A closed-form pricing formula for European options under the Heston model with stochastic interest rate
• On the Heston Model with Stochastic Interest Rates
• Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

This page was built for publication: Option pricing under the Heston model where the interest rate follows the Vasicek model