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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Bibliographic Details
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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