Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation
Journal Article
(2013)
Authors
S Guo (External organisation)
Lech A. Grzelak (TU Delft - Numerical Analysis)
C. W. Oosterlee (TU Delft - Numerical Analysis)
Research Group
Numerical Analysis
To reference this document use:
https://doi.org/10.1016/j.apnum.2013.06.004
TU Delft Repository resolver:
https://resolver.tudelft.nl/8b682415-9621-4a0e-ae55-bb4dd3ecbc83
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Publication Year
2013
Language
English
Research Group
Numerical Analysis
Volume number
72
Pages (from-to)
143-159
DOI:
https://doi.org/10.1016/j.apnum.2013.06.004
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