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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| Principais autores: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado: |
MDPI AG
2025-08-01
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| Series: | Mathematics |
| Assuntos: | |
| Acceso en liña: | https://www.mdpi.com/2227-7390/13/15/2515 |
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