An equity-interest rate hybrid model with stochastic volatility and the interest rate smile
Year of publication: |
2012
|
---|---|
Authors: | Grzelak, Lech A. ; Oosterlee, Cornelis W. |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 15.2011/12, 4, p. 45-77
|
Subject: | Volatilität | Volatility | Zins | Interest rate | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve |
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