A note on “A closed-form pricing formula for European options under the Heston model with stochastic interest rate”

Xinfeng Ruan; Wenjun Zhang

doi:10.1016/j.cam.2018.10.002

A note on “A closed-form pricing formula for European options under the Heston model with stochastic interest rate”

Xinfeng Ruan
, Wenjun Zhang^*

^*Corresponding author for this work

Auckland University of Technology

Research output: Contribution to journal › Article › peer-review

Abstract

He and Zhu (2018) provide an innovative closed-form pricing formula in an infinite series for European options under the Heston-CIR hybrid model, based on the technique of numeraire change. In contrast to their formula, we give an alternative closed-form pricing formula, which does not need to use the technique of numeraire change.

Original language	English
Pages (from-to)	55-56
Number of pages	2
Journal	Journal of Computational and Applied Mathematics
Volume	350
DOIs	https://doi.org/10.1016/j.cam.2018.10.002
Publication status	Published - Apr 2019
Externally published	Yes

Keywords

Affine model
European option
Heston-CIR

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10.1016/j.cam.2018.10.002

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title = "A note on {\textquotedblleft}A closed-form pricing formula for European options under the Heston model with stochastic interest rate{\textquotedblright}",

abstract = "He and Zhu (2018) provide an innovative closed-form pricing formula in an infinite series for European options under the Heston-CIR hybrid model, based on the technique of numeraire change. In contrast to their formula, we give an alternative closed-form pricing formula, which does not need to use the technique of numeraire change.",

keywords = "Affine model, European option, Heston-CIR",

author = "Xinfeng Ruan and Wenjun Zhang",

note = "Publisher Copyright: {\textcopyright} 2018 Elsevier B.V.",

year = "2019",

month = apr,

doi = "10.1016/j.cam.2018.10.002",

language = "English",

volume = "350",

pages = "55--56",

journal = "Journal of Computational and Applied Mathematics",

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T1 - A note on “A closed-form pricing formula for European options under the Heston model with stochastic interest rate”

AU - Ruan, Xinfeng

AU - Zhang, Wenjun

PY - 2019/4

Y1 - 2019/4

N2 - He and Zhu (2018) provide an innovative closed-form pricing formula in an infinite series for European options under the Heston-CIR hybrid model, based on the technique of numeraire change. In contrast to their formula, we give an alternative closed-form pricing formula, which does not need to use the technique of numeraire change.

AB - He and Zhu (2018) provide an innovative closed-form pricing formula in an infinite series for European options under the Heston-CIR hybrid model, based on the technique of numeraire change. In contrast to their formula, we give an alternative closed-form pricing formula, which does not need to use the technique of numeraire change.

KW - Affine model

KW - European option

KW - Heston-CIR

UR - https://www.scopus.com/pages/publications/85055518786

U2 - 10.1016/j.cam.2018.10.002

DO - 10.1016/j.cam.2018.10.002

M3 - Article

AN - SCOPUS:85055518786

SN - 0377-0427

VL - 350

SP - 55

EP - 56

JO - Journal of Computational and Applied Mathematics

JF - Journal of Computational and Applied Mathematics

ER -

A note on “A closed-form pricing formula for European options under the Heston model with stochastic interest rate”

Abstract

Keywords

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