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

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

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

Cornelis W. Oosterlee Numerical Analysis

Research Group

Numerical Analysis

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Published Date

2012

Language

English

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Research Group

Numerical Analysis

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