Accounting for Stochastic Interest Rates, Stochastic Volatility and a General Dependency Structure in the Valuation of Forward Starting Options

2009 ◽  
Author(s):  
Alexander van Haastrecht ◽  
Antoon A. J. Pelsser
Keyword(s):  
Interest Rates ◽  
Stochastic Volatility ◽  
Stochastic Interest Rates ◽  
Dependency Structure ◽  
Stochastic Interest

scholarly journals Bounds for present value functions with stochastic interest rates and stochastic volatility

2002 ◽  
Vol 31 (1) ◽  
pp. 87-103 ◽  
Author(s):  
Ann De Schepper ◽  
Marc Goovaerts ◽  
Jan Dhaene ◽  
Rob Kaas ◽  
David Vyncke
Keyword(s):  
Interest Rates ◽  
Stochastic Volatility ◽  
Value Functions ◽  
Present Value ◽  
Stochastic Interest Rates ◽  
Stochastic Interest

scholarly journals Pricing inflation products with stochastic volatility and stochastic interest rates

2013 ◽  
Vol 52 (2) ◽  
pp. 286-299 ◽  
Author(s):  
Stefan N. Singor ◽  
Lech A. Grzelak ◽  
David D.B. van Bragt ◽  
Cornelis W. Oosterlee
Keyword(s):  
Interest Rates ◽  
Stochastic Volatility ◽  
Stochastic Interest Rates ◽  
Stochastic Interest
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