Pricing exchange options under hybrid stochastic volatility and interest rate models
From MaRDI portal
Publication:6653510
DOI10.1016/J.CAM.2024.116261MaRDI QIDQ6653510
Publication date: 16 December 2024
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Mathematical economics (91Bxx) Actuarial science and mathematical finance (91Gxx) Markov processes (60Jxx)
Cites Work
- Title not available (Why is that?)
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
- Options with constant underlying elasticity in strikes
- Exchange option pricing under stochastic volatility: a correlation expansion
- Applications of Fourier transform to smile modeling. Theory and implementation.
- A multiscale extension of the Margrabe formula under stochastic volatility
- Full and fast calibration of the Heston stochastic volatility model
- A closed-form pricing formula for European options under the Heston model with stochastic interest rate
- Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion
- Analytical valuation of vulnerable European and Asian options in intensity-based models
- Pricing power exchange options with Hawkes jump diffusion processes
- Stochastic pricing formulation for hybrid equity warrants
- Pricing vulnerable options with stochastic volatility
- Pricing vulnerable power exchange options in an intensity based framework
- Option pricing when correlations are stochastic: an analytical framework
- Exchange Options Under Jump-Diffusion Dynamics
- Extension of stochastic volatility equity models with the Hull–White interest rate process
- 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
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- Pricing exchange options with correlated jump diffusion processes
- A CLOSED-FORM PRICING FORMULA FOR EUROPEAN EXCHANGE OPTIONS WITH STOCHASTIC VOLATILITY
- Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching
- A CLOSED-FORM GARCH VALUATION MODEL FOR POWER EXCHANGE OPTIONS WITH COUNTERPARTY RISK
- Lifting the Heston model
- Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
- Exchange options under clustered jump dynamics
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
This page was built for publication: Pricing exchange options under hybrid stochastic volatility and interest rate models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6653510)