TY - JOUR T1 - Black-Scholes and Heston Models with Stochastic Interest Rates and Term Structure of Volatilities JF - The Journal of Derivatives DO - 10.3905/jod.2019.1.078 SP - jod.2019.1.078 AU - Alberto Bueno-Guerrero Y1 - 2019/07/05 UR - https://pm-research.com/content/early/2019/07/05/jod.2019.1.078.abstract N2 - We consider the Black-Scholes and Heston models and generalize them to stochastic interest rates and maturity-dependent volatilities. In the Black-Scholes case, we solve the extended model and provide a concrete form for the term structure of volatilities. In the Heston case, we prove that, under some conditions, the generalized model is equivalent to a hybrid model and we find semi-closed-form solutions in the Hull and White and CIR cases.TOPICS: Options, statistical methods, fixed income and structured finance ER -