Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation

Guo, S; Grzelak, L.A.; Oosterlee, Cornelis W.

Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation

Journal article (2013)

Authors

S Guo External organisation

L.A. Grzelak Numerical Analysis

Cornelis W. Oosterlee Numerical Analysis

Research Group

Numerical Analysis

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Published Date

2013

Language

English

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Research Group

Numerical Analysis

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