A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates

Accounting for stochastic interest rates

Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options

✍ Alexander Van Haastrecht; Antoon Pelsser 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 366 KB 👁 1 views

factors explicitly into account for a proper valuation and risk management of these securities. The performed analysis is facilitated by deriving closed-form formulas for the valuation of forward starting options, hereby taking the stochastic volatility, stochastic interest rates as well the depende