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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

Forward start options under stochastic volatility and stochastic interest rates

Ahlip, Rehez; Rutkowski, Marek - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 208-225

Persistent link: https://www.econbiz.de/10003855780

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

Foreign exchange options under stochastic volatility and stochastic interest rates

Ahlip, Rehez - In: International journal of theoretical and applied finance 11 (2008) 3, pp. 277-294

Persistent link: https://www.econbiz.de/10003733145

Pricing currency options in the Heston/CIR double exponential jump-diffusion model

Ahlip, Rehez; Park, Laurence A. F.; Prodan, Ante - In: International journal of financial engineering 4 (2017) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10011673127

Forward start options under Heston affine jump-diffusions and stochastic interest rate

Ahlip, Rehez; Park, Laurence A. F.; Prodan, Ante; … - In: International journal of financial engineering 8 (2021) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10012654786

Continuous-time term structure models

Musiela, Marek; Rutkowski, Marek - 1996

Persistent link: https://www.econbiz.de/10000940406

Continuous-time term structure models : forward measure approach

Musiela, Marek - In: Finance and stochastics 1 (1997) 4, pp. 261-291

Persistent link: https://www.econbiz.de/10001226612

Continuous-time term structure models

Musiela, Marek; Rutkowski, Marek - 1996 - Rev. version

Persistent link: https://www.econbiz.de/10000602499

Forward Start Options Under Stochastic Volatility and Stochastic Interest Rates

Ahlip, Rehez Ajmal - 2009

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

Persistent link: https://www.econbiz.de/10013153471