The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives

Journal article (2011)

Authors

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

2011

Language

English

Reuse Rights

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Numerical Analysis