An explicitly solvable Heston model with stochastic interest rate
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- 作者：M.C. Recchioni ; a ; m.c.recchioni@univpm.it" class="auth_mail" title="E-mail the corresponding author ; Y. Sun1 ; b ; y.shawn@univpm.it" class="auth_mail" title="E-mail the corresponding author
- 关键词：Finance ; Option pricing ; Stochastic volatility models ; Calibration procedure
- 刊名：European Journal of Operational Research
- 出版年：2016
- 出版时间：16 February 2016
- 年：2016
- 卷：249
- 期：1
- 页码：359-377
- 全文大小：1629 K
文摘
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The analytical treatment of a Heston model with stochastic interest rate is illustrated.
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A pdf as a one dimensional integral of an elementary integrand function is given.
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Explicit formulas for the moments of the price variables are derived.
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Closed-form formulas to approximate European option prices are proposed.
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A calibration procedure is applied to option prices and U.S. government bond yields.