An explicitly solvable Heston model with stochastic interest rate
M. C. Recchioni, Y. Sun
| Year of publication: |
2016
|
|---|---|
| Authors: | Recchioni, M. C. ; Sun, Y. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 249.2016, 1 (16.2.), p. 359-377
|
| Subject: | Finance | Option pricing | Stochastic volatility models | Calibration procedure | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2015.09.035 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011435870