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Extension of stochastic volatility equity models with the Hull–White interest rate process

✍ Scribed by Grzelak, Lech A.; Oosterlee, Cornelis W.; Van Weeren, Sacha

Book ID
115469418
Publisher
Taylor and Francis Group
Year
2012
Tongue
English
Weight
333 KB
Volume
12
Category
Article
ISSN
1469-7688

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✍ Jia-Hau Guo 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 257 KB

This study proposes a double-jump stochastic volatility model with stochastic interest rates to price capped equity swaps and other multi-period derivative securities. Closed-form solutions for capped equity swaps with a fixed or variable notional principle are derived. In addition, numerical exampl