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Forward start options under stochastic volatility and stochastic interest rates
Ahlip, Rehez; Rutkowski, Marek - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 208-225
Persistent link: https://www.econbiz.de/10003855780
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Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
Ahlip, Rehez; Rutkowski, Marek - In: Applied mathematical finance 22 (2015) 1/2, pp. 1-27
Persistent link: https://www.econbiz.de/10010505183
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Forward start options under Heston affine jump-diffusions and stochastic interest rate
Ahlip, Rehez; Park, Laurence A. F.; Prodan, Ante; … - In: International journal of financial engineering 8 (2021) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10012654786
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Pricing currency options in the Heston/CIR double exponential jump-diffusion model
Ahlip, Rehez; Park, Laurence A. F.; Prodan, Ante - In: International journal of financial engineering 4 (2017) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10011673127
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Pricing of foreign exchange options under the MPT stochastic volatility model and the CIR interest rates
Ahlip, Rehez; Rutkowski, Marek - In: The European journal of finance 22 (2016) 7/9, pp. 551-571
Persistent link: https://www.econbiz.de/10011619055