TY - JOUR T1 - Black–Scholes and Heston Models with Stochastic Interest Rates and Term Structure of Volatilities JF - The Journal of Derivatives SP - 32 LP - 48 DO - 10.3905/jod.2019.1.078 VL - 27 IS - 1 AU - Alberto Bueno-Guerrero Y1 - 2019/08/30 UR - https://pm-research.com/content/27/1/32.abstract N2 - This article considers the Black–Scholes and Heston models and generalize them to stochastic interest rates and maturity-dependent volatilities. In the Black–Scholes case, the author solves the extended model and provides a concrete form for the term structure of volatilities. In the Heston case, he proves that, under some conditions, the generalized model is equivalent to a hybrid model and finds semi-closed-form solutions in the Hull and White and CIR cases.TOPICS: Options, statistical methods, fixed income and structured finance ER -