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Results tagged with option-pricing
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user 54908
Questions about models for the valuation of option contracts.
1
vote
0
answers
47
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Hedging Options assuming a non-constant Yield Curve
I have read most of Shreve's Stochastic Calculus for Finance II. In it, the author prices various option types assuming an interest rate that is constant with respect to time.
We can expand this model …
- 437
3
votes
2
answers
1k
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How do you derive this Carr-Madan-like equation?
How do you derive equation (3) below? The equation is tagged as equation (11) in this paper:
http://janroman.dhis.org/finance/IR/Heston%E2%80%93Hull%E2%80%93White%20Model%20Part%20I.pdf
There are part …
- 437
4
votes
1
answer
785
views
Deriving the Heston-Hull-White PDE
I'm trying to derive the Heston-Hull-White PDE. The correct backwards PDE is equation (1.3) of this paper on page (2). I will begin deriving the forward PDE, but switching between the two is trivial. …
- 437