Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure

In this paper, an additional factor is introduced into the Heston–Hull–White (HHW) hybrid model, which originally combines the Heston stochastic volatility model and the Hull–White stochastic interest rate model, to capture the correlation between the underlying price and the interest rate, while at...

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Veröffentlicht in:	The journal of futures markets 2023-07, Vol.43 (7), p.951-967
Hauptverfasser:	He, Xin‐Jiang, Lin, Sha
Format:	Artikel
Sprache:	eng
Schlagworte:	closed‐form correlation European options Interest rates two‐factor Heston–Hull–White hybrid model
Online-Zugang:	Volltext
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