Joining the Heston and a three-factor short rate model : a closed-form approach
Roman Horsky and Tilman Sayer (Department of Financial Mathematics, Fraunhofer Institute for Industrial Mathematics, ITWM, Kaiserslautern, Germany)
| Year of publication: |
December 2015
|
|---|---|
| Authors: | Horsky, Roman ; Sayer, Tilman |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 8, p. 1-17
|
| Subject: | Option valuation | Heston model | two-factor Hull-White model | stochastic volatility | stochastic interest rate | analytic solution | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Zinsstruktur | Yield curve | Zins | Interest rate | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024915500569 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011419421