%A Teng, Long %A Ehrhardt, Matthias %A Günther, Michael %D 2015 %T Option pricing with dynamically correlated stochastic interest rate %K %X In this work we review several option pricing models with stochastic interest rate and extend this model by incorporating local time dependent correlation between the underlying and the interest rate. We compare the dierence between using a constant and a dynamic correlation by analyzing some numerical benchmarks. Furthermore, we conduct an experiment on tting the pricing model to the market price. Our analysis shows that the option pricing within the Black-Scholes framework can not really be improved by incorporating stochastic interest rate even when using a nonlinear correlation.   %U http://www.iam.fmph.uniba.sk/amuc/ojs/index.php/amuc/article/view/132 %J Acta Mathematica Universitatis Comenianae %0 Journal Article %P 179-190%V 84 %N 2 %@ 0862-9544 %8 2015-09-03