On The Heston Model with Stochastic Interest Rates
Year of publication: |
2009-02-17
|
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Authors: | Grzelak, Lech ; Oosterlee, Kees |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Heston-Hull-White | Heston-Cox-Ingersoll-Ross | equity-interest rate hybrid products | stochastic volatility | affine jump diffusion processes |
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