Skip to main content
Book Chapter

Option Pricing and Hedging Performance Under Stochastic Volatility and Stochastic Interest Rates

  • Bakshi G
  • Cao C
  • Chen Z
Springer US, (2010), 547-574
DOI: 10.1007/978-0-387-77117-5_37
N/ACitations
Citations of this article
4Readers
Mendeley users who have this article in their library.
Get full text

Abstract

Recent studies have extended the Black–Scholes model to incorporate either stochastic interest rates or stochastic volatility. But, there is not yet any comprehensive empirical study demonstrating whether and by how much each generalized feature will improve option …

Cite

CITATION STYLE

APA

Bakshi, G., Cao, C., & Chen, Z. (2010). Option Pricing and Hedging Performance Under Stochastic Volatility and Stochastic Interest Rates. In Handbook of Quantitative Finance and Risk Management (pp. 547–574). Springer US. https://doi.org/10.1007/978-0-387-77117-5_37

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free