Calibration and Monte Carlo pricing of the SABR¿Hull¿White model for long-maturity equity derivatives

Journal article (2012)

Authors

L.A. Grzelak Numerical Analysis - EEMCS
C.W. Oosterlee Numerical Analysis - EEMCS
Research Group
Numerical Analysis (EEMCS) (TU Delft)
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Published Date

2012

Language

English

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Numerical Analysis