Extension of Stochastic Volatility Equity Models with Hull-White Interest Rate Process

@inproceedings{Grzelak2008ExtensionOS,
  title={Extension of Stochastic Volatility Equity Models with Hull-White Interest Rate Process},
  author={Lech A. Grzelak and Cornelis W. Oosterlee and Sacha van Weeren},
  year={2008}
}
We present an extension of stochastic volatility equity models by a stochastic Hull-White interest rate component while assuming non-zero correlations between the underlying processes. We place these systems of stochastic differential equations in the class of affine jump diffusion linear quadratic jump-diffusion processes (Duffie, Pan and Singleton [13], Cheng and Scaillet [10]) so that the pricing of European products can be efficiently done within the Fourier cosine expansion pricing… CONTINUE READING