Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates

By R. Ahlip, Marek Rutkowski. 2013

47 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/2ce40bfce894db8a203d409858b1e1bbc6c02d2e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Justin A. Sirignano
2. Konstantinos Spiliopoulos
3. Rama Cont
4. Eugene A. Golikov
5. Matthew F. Dixon
6. Saejoon Kim
7. Jason D. Lee
8. Yu Bai

Citations in the corpus

• Stochastic Gradient Descent in Continuous Time (2016, background): “The second is the multidimensional CIR process which is a common model for interest rates (for examples in finance, see [4], [22], [11], [5], and [12]).”