The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
Journal Article
(2011)
Author(s)
Lech A. Grzelak (TU Delft - Numerical Analysis)
Cornelis W. Oosterlee (TU Delft - Numerical Analysis)
S. van Weeren (External organisation)
Research Group
Numerical Analysis
DOI related publication
https://doi.org/http://www.tandfonline.com/doi/abs/10.1080/14697688.2011.615216
To reference this document use:
https://resolver.tudelft.nl/uuid:f439ee6c-97d4-45a1-8ce2-71763eb21188
More Info
expand_more
expand_more
Publication Year
2011
Language
English
Research Group
Numerical Analysis
Volume number
11
Pages (from-to)
1647-1663
No files available
Metadata only record. There are no files for this record.