Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
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References listed on IDEAS
- Alan L. Lewis, 2001. "A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes," Related articles explevy, Finance Press.
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- Mordecai Avriel & Jens Hilscher & Alon Raviv, 2013.
"Inflation Derivatives Under Inflation Target Regimes,"
Journal of Futures Markets,
John Wiley & Sons, Ltd., vol. 33(10), pages 911-938, October.
- Mordecai Avriel & Jens Hilscher & Alon Raviv, 2012. "Inflation Derivatives Under Inflation Target Regimes," Working Papers 43, Brandeis University, Department of Economics and International Businesss School.
- Andrei Cozma & Christoph Reisinger, 2015. "A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model," Papers 1509.01479, arXiv.org, revised Apr 2016.
- Griselda Deelstra & Grégory Rayée, 2013.
"Local Volatility Pricing Models for Long-Dated FX Derivatives,"
Applied Mathematical Finance,
Taylor & Francis Journals, vol. 20(4), pages 380-402, September.
- Griselda Deelstra & Gr'egory Ray'ee, 2012. "Local Volatility Pricing Models for Long-dated FX Derivatives," Papers 1204.0633, arXiv.org.
- Lech A. Grzelak & Cornelis W. Oosterlee, 2012.
"On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates,"
Applied Mathematical Finance,
Taylor & Francis Journals, vol. 19(1), pages 1-35, February.
- Grzelak, Lech & Oosterlee, Kees, 2010. "On cross-currency models with stochastic volatility and correlated interest rates," MPRA Paper 23020, University Library of Munich, Germany.
- repec:wsi:ijfexx:v:04:y:2017:i:01:n:s242478631750013x is not listed on IDEAS
- Andrei Cozma & Matthieu Mariapragassam & Christoph Reisinger, 2015. "Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets," Papers 1501.06084, arXiv.org, revised Oct 2016.
- Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W., 2013. "Pricing inflation products with stochastic volatility and stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 286-299.
- Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
More about this item
KeywordsForeign Exchange; Inflation; Equity; Stochastic volatility; Stochastic interest rates; Hybrids;
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