The affine Heston model with correlated Gaussian interest...

Quantitative Finance 2011 / 11 Vol. 11; Iss. 11

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

Grzelak, Lech A., Oosterlee, Cornelis W., Van Weeren, Sacha
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Volume:
11
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2011.615216
Date:
November, 2011
File:
PDF, 418 KB
english, 2011
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