Incorporating an interest rate smile in a equity local volatility model

Report (2008)

Authors

L.A. Grzelak Numerical Analysis - EEMCS
N Borovykh External organisation
S. van Weeren External organisation
C.W. Oosterlee Numerical Analysis - EEMCS
Research Group
Numerical Analysis (EEMCS) (TU Delft)
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Published Date

2008

Language

Undefined/Unknown

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Numerical Analysis