An extension of Heston’s SV model to stochastic interest rates-Reference-Cited by-同舟云学术

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An extension of Heston’s SV model to stochastic interest rates

Published:2019-07 Issue: Volume:354 Page:174-182
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

de Frutos Javier,Gatón Víctor^ORCID

Funder

Junta de Castilla y León

Ministerio de Economía y Competitividad

European Regional Development Fund

Agencia Estatal de Investigación

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference9 articles.

1. A closed-form solution for options with stochastic volatility with applications to bond and currency options;Heston;Rev. Financ. Stud.,1993

2. Stock price distributions with stochastic volatility: An analytic approach;Stein;Rev. Financ. Stud.,1991

3. Arbitrage Theory in Continuous Time;Björk,2004

4. An intertemporal asset pricing model with stochastic consumption and investment opportunities;Breeden;J. Financ. Econ.,1979

5. A theory of the term structure of interest rates;Cox;Econometrica,1985

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Special issue: Selected papers of CMMSE;Journal of Computational and Applied Mathematics;2019-07

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