A closed-form pricing formula for European options under the Heston model with stochastic interest rate
type: Item
instance of: scholarly article
title: A closed-form pricing formula for European options under the Heston model with stochastic interest rate
zbMATH Open document ID: 1408.91215
author: Xin-Jiang He
author: Song-Ping Zhu
published in: Journal of Computational and Applied Mathematics
publication date: 2018-04-16T00:00:00Z
full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 6860295
zbMATH Keywords: European option
zbMATH Keywords: series solution
zbMATH Keywords: stochastic interest rate
zbMATH Keywords: convergence
MaRDI profile type: Publication
OpenAlex ID: W2776015677
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DOI: 10.1016/J.CAM.2017.12.011
description: scientific article; zbMATH DE number 6860295