Heston-Hull-White Model

David Chval ()
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David Chval: Prague University of Economics and Business

Chapter Chapter 7 in Regulation of Finance and Accounting, 2022, pp 85-94 from Springer

Abstract: Abstract This article analyzes the Heston stochastic volatility model with stochastic interest rates driven by the Hull-White process. We use call and put option prices on the Deutscher Aktien Index (DAX) and investigate whether the Heston-Hull-White (HHW) model can improve option pricing with negative interest rates. The prices obtained by the HHW model are compared with the pure Heston model and the Black-Scholes model.

Keywords: Calibration; Heston-Hull-White; Stochastic process (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-99873-8_7

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DOI: 10.1007/978-3-030-99873-8_7

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