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FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES

AHLIP, REHEZ; RUTKOWSKI, MAREK - In: International Journal of Theoretical and Applied … 12 (2009) 02, pp. 209-225

Forward start options are examined in Heston's (Review of Financial Studies 6 (1993) 327–343) stochastic volatility model with the CIR (Econometrica 53 (1985) 385–408) stochastic interest rates. The instantaneous volatility and the instantaneous short rate are assumed to be correlated with...

Persistent link: https://www.econbiz.de/10005000041

Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model

Ahlip, Rehez; Rutkowski, Marek - In: Applied mathematical finance 22 (2015) 1/2, pp. 1-27

Persistent link: https://www.econbiz.de/10010505183

Pricing of foreign exchange options under the MPT stochastic volatility model and the CIR interest rates

Ahlip, Rehez; Rutkowski, Marek - In: The European journal of finance 22 (2016) 7/9, pp. 551-571

Persistent link: https://www.econbiz.de/10011619055