On the Heston Model with Stochastic Interest Rates

被引：145

作者：

Grzelak, Lech A. ^{[1
,2
]}

Oosterlee, Cornelis W. ^{[1
,3
]}

机构：

[1] Delft Univ Technol, Delft Inst Appl Math, NL-2628 CD Delft, Netherlands

[2] Rabobank, Derivat Res & Validat Grp, NL-3521 AP Utrecht, Netherlands

[3] CWI Centrum Wiskunde & Informat, Amsterdam, Netherlands

来源：

SIAM JOURNAL ON FINANCIAL MATHEMATICS | 2011年 / 2卷 / 01期

关键词：

equity-interest rate hybrid models; stochastic volatility; Heston-Hull-White and Heston-Cox-Ingersoll-Ross processes; approximation by affine diffusion process; TRANSFORM; OPTIONS;

D O I：

10.1137/090756119

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We discuss the Heston model [Rev. Financ. Stud., 6 (1993), pp. 327-343] with stochastic interest rates driven by Hull-White (HW) [J. Derivatives, 4 (1996), pp. 26-36] or Cox-Ingersoll-Ross (CIR) [Econometrica, 53 (1985), pp. 385-407] processes. Two projection techniques to derive affine approximations of the original hybrid models are presented. In these approximations we can prescribe a nonzero correlation structure between all underlying processes. The affine approximate models admit pricing basic derivative products by Fourier techniques [P. P. Carr and D. B. Madan, J. Comput. Finance, 2 (1999), pp. 61-73, F. Fang and C. W. Oosterlee, SIAM J. Sci. Comput., 31 (2008), pp. 826-848] and can therefore be used for fast calibration of the hybrid model.

引用

页码：255 / 286

页数：32

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