Analytical Pricing Vulnerable Options with Stochastic Volatility in a Two-Factor Stochastic Interest Rate Model
This paper develops an analytical pricing formula for vulnerable options with stochastic volatility under a two-factor stochastic interest rate model. We consider the underlying asset price following the Heston stochastic volatility model, while the interest rate is modeled as the sum of two process...
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| Main Authors: | Junkee Jeon, Geonwoo Kim |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-08-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/13/15/2515 |
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