Concepedia

Pricing of volatility derivatives in a Heston–CIR model with Markov-modulated jump diffusion

Yu Yang, Shican Liu, Yonghong Wu, Benchawan Wiwatanapataphee

Journal of Computational and Applied Mathematics · 2021 · 17 citations · 30 references

DOI

Concepts

References

30

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Steven L. Heston · Review of Financial Studies · 1993 · 9.1K citations

, , +13

A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations

, , +17

Economic Forces and the Stock Market

Nai‐Fu Chen, Richard Roll, Stephen A. Ross · The Journal of Business · 1986 · 5.4K citations

, , +17

Transform Analysis and Asset Pricing for Affine Jump-diffusions

Darrell Duffie, Jun Pan, Kenneth J. Singleton · Econometrica · 2000 · 3K citations

, , +17

Pricing Interest-Rate-Derivative Securities

John Hull, Alan White · Review of Financial Studies · 1990 · 2.2K citations

, , +17