American Options in Levy Models With Stochastic Interest Rate of CIR-Type

SSRN Electronic Journal ◽

10.2139/ssrn.1032716 ◽

2007 ◽

Cited By ~ 4

Author(s):

Svetlana I. Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Interest Rate ◽

American Options ◽

Stochastic Interest Rate ◽

Stochastic Interest

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Pricing American Options on Foreign Assets in a Stochastic Interest Rate Economy

Journal of Financial and Quantitative Analysis ◽

10.2307/3595016 ◽

2002 ◽

Vol 37 (4) ◽

pp. 667 ◽

Cited By ~ 7

Author(s):

San-Lin Chung

Keyword(s):

Interest Rate ◽

American Options ◽

Stochastic Interest Rate ◽

Stochastic Interest ◽

Foreign Assets

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American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations

Applied Mathematical Finance ◽

10.1080/1350486x.2012.655935 ◽

2013 ◽

Vol 20 (1) ◽

pp. 26-49 ◽

Cited By ~ 11

Author(s):

Svetlana Boyarchenko ◽

Sergei LevendorskiĬ

Keyword(s):

Interest Rate ◽

American Options ◽

Heston Model ◽

Stochastic Interest Rate ◽

Stochastic Interest

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American Options in the Heston Model with Stochastic Interest Rate and its Generalizations

SSRN Electronic Journal ◽

10.2139/ssrn.1107656 ◽

2008 ◽

Cited By ~ 2

Author(s):

Svetlana I. Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Interest Rate ◽

American Options ◽

Heston Model ◽

Stochastic Interest Rate ◽

Stochastic Interest

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Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate

International Journal of Computer Mathematics ◽

10.1080/00207160.2019.1579316 ◽

2019 ◽

Vol 97 (3) ◽

pp. 546-563 ◽

Cited By ~ 1

Author(s):

Sumei Zhang ◽

Jianke Zhang

Keyword(s):

Asymptotic Expansion ◽

Interest Rate ◽

American Options ◽

Expansion Method ◽

Stochastic Interest Rate ◽

Stochastic Interest ◽

Stochastic Volatilities ◽

Asymptotic Expansion Method

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American Options in the Heston Model With Stochastic Interest Rate

SSRN Electronic Journal ◽

10.2139/ssrn.1031282 ◽

2007 ◽

Cited By ~ 2

Author(s):

Svetlana I. Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Interest Rate ◽

American Options ◽

Heston Model ◽

Stochastic Interest Rate ◽

Stochastic Interest

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Numerical Solutions of PIDEs for the Prices of Bond Options, Swaps, Caps and Floors for Levy-Based Stochastic Interest Rate Models

SSRN Electronic Journal ◽

10.2139/ssrn.1597890 ◽

2010 ◽

Author(s):

Anatoliy A. Malyarenko ◽

Anatoliy V. Swishchuk

Keyword(s):

Interest Rate ◽

Numerical Solutions ◽

Stochastic Interest Rate ◽

Interest Rate Models ◽

Stochastic Interest ◽

Bond Options

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European Option Under Jump-Diffusion and Stochastic Interest Rate

SSRN Electronic Journal ◽

10.2139/ssrn.2072614 ◽

2012 ◽

Author(s):

Shankar Subramaniam

Keyword(s):

Interest Rate ◽

Jump Diffusion ◽

Stochastic Interest Rate ◽

European Option ◽

Stochastic Interest

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An Analytical Approximation for European Option Prices Under Stochastic Interest Rate Economy

SSRN Electronic Journal ◽

10.2139/ssrn.2413081 ◽

2014 ◽

Author(s):

Hideharu Funahashi

Keyword(s):

Interest Rate ◽

Analytical Approximation ◽

Stochastic Interest Rate ◽

Option Prices ◽

European Option ◽

Stochastic Interest

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Black Formula for European Calls under Stochastic Interest Rate

SSRN Electronic Journal ◽

10.2139/ssrn.2790623 ◽

2016 ◽

Author(s):

Pijush Gope

Keyword(s):

Interest Rate ◽

Stochastic Interest Rate ◽

Stochastic Interest

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On Calibration and Simulation of Local Volatility Model with Stochastic Interest Rate

SSRN Electronic Journal ◽

10.2139/ssrn.3406231 ◽

2019 ◽

Author(s):

Mingyang Xu ◽

Robert Berec

Keyword(s):

Interest Rate ◽

Stochastic Interest Rate ◽

Local Volatility ◽

Local Volatility Model ◽

Volatility Model ◽

Stochastic Interest

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