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
收藏
页码：55 / 56
页数：2
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