Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate
From MaRDI portal
Publication:6107577
DOI10.1080/03610926.2021.1928202OpenAlexW3169992716MaRDI QIDQ6107577
Shengjie Yue, Unnamed Author, Chao-Qun Ma, Chao Deng
Publication date: 3 July 2023
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2021.1928202
fast Fourier transformstochastic interest ratedefault riskstochastic volatility modelpower exchange options
Cites Work
- Unnamed Item
- An explicitly solvable Heston model with stochastic interest rate
- A closed form solution for vulnerable options with Heston's stochastic volatility
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
- Exchange option pricing under stochastic volatility: a correlation expansion
- Pricing options under stochastic interest rates: a new approach
- A multiscale extension of the Margrabe formula under stochastic volatility
- Pricing vulnerable options with stochastic volatility
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- On the Heston Model with Stochastic Interest Rates
- The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
- A multifactor volatility Heston model
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
- American option pricing under the double Heston model based on asymptotic expansion
- An FFT approach for option pricing under a regime-switching stochastic interest rate model
- Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
This page was built for publication: Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate
