A moment matching method for option pricing under stochastic interest rates

DOI10.1002/ASMB.2624MaRDI QIDQ6579672

Alessandro Ramponi, Fabio Antonelli, Sergio Scarlatti

Publication date: 25 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

option pricingCox-Ingersoll-Ross modelstochastic interest ratesmoment matchingnon-affine models

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
• Pricing options under stochastic interest rates: a new approach
• Option pricing under stochastic interest rates: an empirical investigation
• Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
• Pricing and hedging long-term options
• On the Heston Model with Stochastic Interest Rates
• Asymptotic formulae for implied volatility in the Heston model
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
• A comparison of biased simulation schemes for stochastic volatility models

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