Valuing a European Option Under the Heston Model with Interest Rate
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Publisher
Springer Nature Switzerland
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-42847-0_16
Reference12 articles.
1. Dumas, B., Fleming, J., Whaley, R.E.: Implied volatility functions: Empirical tests. J. Finance. 53(6), 2059–2106 (1998)
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3. Grzelak, L.A., Oosterlee, C.W.: On the Heston model with stochastic interest rates. SIAM J. Financ. Math. 2(1), 255–86 (2011). https://doi.org/10.1137/090756119
4. He, X.J., Zhu, S.P.: A closed-form pricing formula for European options under the Heston model with stochastic interest rate. J. Comput. Appl. Math. 335, 323–33 (2018). https://doi.org/10.1016/j.cam.2017.12.011
5. Heston, S.L.: A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financ. Stud. 6(2), 327–343 (1993). https://doi.org/10.1093/rfs/6.2.327
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