A Note on Exchange Options Under Stochastic Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.1626020 ◽

2010 ◽

Author(s):

Carole Bernard ◽

Zhenyu Cui

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Stochastic Interest ◽

Exchange Options

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Computational aspects of pricing foreign exchange options with stochastic volatility and stochastic interest rates

Journal of Statistical Planning and Inference ◽

10.1016/j.jspi.2009.11.007 ◽

2010 ◽

Vol 140 (5) ◽

pp. 1256-1268 ◽

Author(s):

Rehez Ahlip ◽

Rik King

Keyword(s):

Interest Rates ◽

Stochastic Volatility ◽

Foreign Exchange ◽

Stochastic Interest Rates ◽

Stochastic Interest ◽

Computational Aspects ◽

Exchange Options

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Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets

10.1007/978-3-642-17041-6 ◽

2004 ◽

Author(s):

Holger Kraft

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Optimal Portfolios ◽

Stochastic Interest

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Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts

SSRN Electronic Journal ◽

10.2139/ssrn.1283186 ◽

2008 ◽

Author(s):

Francois Quittard-Pinon ◽

Rivo A Randrianarivony

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Stochastic Interest

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Dynamic Model of Pension Savings Management with Stochastic Interest Rates and Stock Returns

SSRN Electronic Journal ◽

10.2139/ssrn.1635879 ◽

2010 ◽

Author(s):

Igor Melichercik ◽

Daniel Sevcovic

Keyword(s):

Interest Rates ◽

Stock Returns ◽

Dynamic Model ◽

Stochastic Interest Rates ◽

Stochastic Interest

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A Hybrid Model for Equity Indices and Stochastic Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.2173273 ◽

2012 ◽

Author(s):

Jan F. Baldeaux ◽

Man Chung Fung ◽

Katja Ignatieva ◽

Eckhard Platen

Keyword(s):

Interest Rates ◽

Hybrid Model ◽

Stochastic Interest Rates ◽

Stochastic Interest ◽

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Dynamic Asset Allocation Under VAR Constraint with Stochastic Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.2324172 ◽

2008 ◽

Author(s):

Donatien Hainaut

Keyword(s):

Interest Rates ◽

Asset Allocation ◽

Stochastic Interest Rates ◽

Dynamic Asset Allocation ◽

Stochastic Interest

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Revisiting the Classical Models: Black-Scholes and Heston With Stochastic Interest Rates and Term Structure of Volatilities

SSRN Electronic Journal ◽

10.2139/ssrn.3192823 ◽

2018 ◽

Author(s):

Alberto Bueno-Guerrero

Keyword(s):

Interest Rates ◽

Term Structure ◽

Stochastic Interest Rates ◽

Stochastic Interest ◽

Black Scholes ◽

Classical Models

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Stochastic interest rates under rational inattention

The North American Journal of Economics and Finance ◽

10.1016/j.najef.2020.101258 ◽

2020 ◽

Vol 54 ◽

pp. 101258

Author(s):

Yuhua Zhang ◽

Yingjie Niu ◽

Ting Wu

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Rational Inattention ◽

Stochastic Interest

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Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

Review of Finance ◽

10.1023/a:1009860926279 ◽

1999 ◽

Vol 3 (3) ◽

pp. 273-310 ◽

Author(s):

George J. Jiang ◽

Pieter J. van der Sluis

Keyword(s):

Option Pricing ◽

Interest Rates ◽

Stochastic Volatility ◽

Pricing Models ◽

Stochastic Interest Rates ◽

Stochastic Interest ◽

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Efficient procedures for the valuation and hedging of American currency options with stochastic interest rates

Journal of Multinational Financial Management ◽

10.1016/s1042-444x(01)00028-7 ◽

2001 ◽

Vol 11 (3) ◽

pp. 241-268

Author(s):

Chuang-Chang Chang

Keyword(s):

Interest Rates ◽

Currency Options ◽

Stochastic Interest Rates ◽

Stochastic Interest

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