Joining The Heston And A Three-Factor Short Rate Model: A Closed-Form Approach
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DOI: 10.1142/S0219024915500569
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Cited by:
- Jiling Cao & Teh Raihana Nazirah Roslan & Wenjun Zhang, 2018.
"Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-Switching,"
Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1359-1379, December.
- Jiling Cao & Teh Raihana Nazirah Roslan & Wenjun Zhang, 2016. "Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching," Papers 1603.08289, arXiv.org.
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Keywords
Option valuation; Heston model; two-factor Hull-White model; stochastic volatility; stochastic interest rate; analytic solution;All these keywords.
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