An Equity-Interest Rate Hybrid Model with Stochastic Volatility and the Interest Rate Smile
Year of publication: |
2014
|
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Authors: | Grzelak, Lech A. |
Other Persons: | Oosterlee, Cornelis W. (contributor) |
Publisher: |
[2014]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Zins | Interest rate | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve |
Extent: | 1 Online-Ressource (24 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: The Journal of Computational Finance (1–33) Volume 15/Number 4, Summer 2012 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 28, 2010 erstellt |
Other identifiers: | 10.2139/ssrn.1543704 [DOI] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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