Extension of stochastic volatility equity models with the Hull–White interest rate process
نویسندگان
چکیده
منابع مشابه
Extension of Stochastic Volatility Equity Models with Hull-White Interest Rate Process
We present an extension of stochastic volatility equity models by a stochastic Hull-White interest rate component while assuming non-zero correlations between the underlying processes. We place these systems of stochastic differential equations in the class of affine jump diffusion linear quadratic jump-diffusion processes (Duffie, Pan and Singleton [13], Cheng and Scaillet [10]) so that the pr...
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In recent years the financial world has focused on accurate pricing of exotic and hybrid products that are based on a combination of underlyings from different asset classes. In this paper we present an extension of the stochastic volatility models by a stochastic Hull-White interest rate component. It is our goal to include this system of stochastic differential equations in the class of affin...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2012
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697680903170809