Boyarchenko, Svetlana; LevendorskiĬ, Sergei - In: Applied Mathematical Finance 20 (2013) 1, pp. 26-49
We consider the Heston model with the stochastic interest rate of Cox--Ingersoll--Ross (CIR) type and more general models with stochastic volatility and interest rates depending on two CIR-factors; the price, volatility and interest rate may correlate. Time-derivative and infinitesimal generator...