Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

G.J. Jiang and Pieter van der Sluis

No 2000-36, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Stochastic Volatility; Efficient Method of Moments (EMM); Reprojection; Option Pricing (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (8)

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Related works:
Working Paper: Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates (2000)
Journal Article: Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates (1999)
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