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Calibration and Monte Carlo pricing of the SABR-Hull-White model for long-maturity equity derivatives
Chen, Bin
;
Grzelak, Lech A
;
Oosterlee, Cornelis W
- In:
The journal of computational finance
15
(
2012
)
4
,
pp. 79-115
Persistent link: https://www.econbiz.de/10009993876
Saved in:
2
Calibration and Monte Carlo pricing of the SABR–Hull–White model for long-maturity equity derivatives
Chen, Bin
;
Grzelak, Lech A.
;
Oosterlee, Cornelis W.
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 79-113
Persistent link: https://www.econbiz.de/10009575387
Saved in:
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