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Heston-Hull-White Model

In: Regulation of Finance and Accounting

Author

Listed:
  • David Chval

    (Prague University of Economics and Business)

Abstract

This article analyzes the Heston stochastic volatility model with stochastic interest rates driven by the Hull-White process. We use call and put option prices on the Deutscher Aktien Index (DAX) and investigate whether the Heston-Hull-White (HHW) model can improve option pricing with negative interest rates. The prices obtained by the HHW model are compared with the pure Heston model and the Black-Scholes model.

Suggested Citation

  • David Chval, 2022. "Heston-Hull-White Model," Springer Proceedings in Business and Economics, in: David Procházka (ed.), Regulation of Finance and Accounting, chapter 0, pages 85-94, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-99873-8_7
    DOI: 10.1007/978-3-030-99873-8_7
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