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

共 50 条

[41] A Discontinuous Galerkin Method for Numerical Pricing of European Options under Heston Stochastic Volatility
Hozman, J.
Tichy, T.
[J]. APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS (AMEE'16), 2016, 1789
[42] Pricing generalized variance swaps under the Heston model with stochastic interest rates
Kim, See-Woo
Kim, Jeong-Hoon
[J]. MATHEMATICS AND COMPUTERS IN SIMULATION, 2020, 168 : 1 - 27
[43] A Simple Approach to Pricing American Options Under the Heston Stochastic Volatility Model
Beliaeva, Natalia A.
Nawalkha, Sanjay K.
[J]. JOURNAL OF DERIVATIVES, 2010, 17 (04): : 25 - 43
[44] Pricing of geometric Asian options under Heston's stochastic volatility model
Kim, Bara
Wee, In-Suk
[J]. QUANTITATIVE FINANCE, 2014, 14 (10) : 1795 - 1809
[45] PRICING OPTIONS UNDER STOCHASTIC INTEREST RATE AND THE FRASCA-FARINA PROCESS: A SIMPLE, EXPLICIT FORMULA
Alghalith, Moawia
[J]. ANNALS OF FINANCIAL ECONOMICS, 2021, 16 (01)
[46] Path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models
Lemmens, D.
Wouters, M.
Tempere, J.
Foulon, S.
[J]. PHYSICAL REVIEW E, 2008, 78 (01):
[47] Saddlepoint Method for Pricing European Options under Markov-Switching Heston's Stochastic Volatility Model
Zhang, Mengzhe
Chan, Leunglung
[J]. JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2022, 15 (09)
[48] Pricing Stochastic Barrier Options under Hull-White Interest Rate Model
潘坚
肖庆宪
[J]. Journal of Donghua University(English Edition), 2016, 33 (03) : 433 - 438
[49] A general closed-form spread option pricing formula
Caldana, Ruggero
Fusai, Gianluca
[J]. JOURNAL OF BANKING & FINANCE, 2013, 37 (12) : 4893 - 4906
[50] A Closed-Form Formula for Pricing Variance Swaps on Commodities
Weraprasertsakun A.
Rujivan S.
[J]. Vietnam Journal of Mathematics, 2017, 45 (1-2) : 255 - 264

← 1 2 3 4 5 →