Incorporating an interest rate smile in a equity local volatility model
Report
(2008)
Author(s)
L.A. Grzelak (TU Delft - Numerical Analysis)
N Borovykh (External organisation)
S. van Weeren (External organisation)
CW Oosterlee (TU Delft - Numerical Analysis)
Research Group
Numerical Analysis
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Publication Year
2008
Research Group
Numerical Analysis
Bibliographical Note
ISSN 1389-6520@en
Volume number
Reports of the Department of Applied Mathematical Analysis
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