Closed-Form Formulae for European Options Under Three-Factor Models

Author:

Goard JoannaORCID

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Computational Mathematics,Statistics and Probability

Reference37 articles.

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2. Abudy, M., Izhakian, Y.: Pricing stock options with stochastic interest rate. Int. J. Portf. Anal. Manag. 1(3), 250–277 (2013). https://doi.org/10.1504/IJPAM.2013.054408

3. Alam, M.M., Uddin, G.: Relationship between interest rate and stock price: empirical evidence from developed and developing countries. Int. J. Bus. Manag. 4(3), 43–51 (2009). https://ssrn.com/abstract=2941281

4. Andreasen, J.: Closed-form pricing of FX options under stochastic rates and volatility. In: Global Derivatives Conference, ICBI (2006)

5. Antonov, A., Arneguy, M., Audet, N.: Markovian projection to a displaced volatility Heston model. In: 2008 Working Paper (2008). http://ssrn.com/abstract=1106223

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