Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure
Year of publication: |
2023
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Authors: | He, Xin-Jiang ; Lin, Sha |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 43.2023, 7, p. 951-967
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Subject: | closed-form | correlation | European options | two-factor Heston-Hull-White hybrid model | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Optionsgeschäft | Option trading | Zinsstruktur | Yield curve |
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