A note on "A closed-form pricing formula for European options under the Heston model with stochastic interest rate"

被引：0

作者：

Ruan, Xinfeng ^{[1
]}

Zhang, Wenjun ^{[1
]}

机构：

[1] Auckland Univ Technol, Sch Engn Comp & Math Sci, Private Bag 92006, Auckland 1142, New Zealand

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2019年 / 350卷

关键词：

European option; Affine model; Heston-CIR;

D O I：

10.1016/j.cam.2018.10.002

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

He and Zhu (2018) provide an innovative closed-form pricing formula in an infinite series for European options under the Heston-CIR hybrid model, based on the technique of numeraire change. In contrast to their formula, we give an alternative closed-form pricing formula, which does not need to use the technique of numeraire change. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：55 / 56

页数：2

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