Calibration and Monte Carlo pricing of the SABR-Hull-White model for long-maturity equity derivatives
Year of publication: |
2012
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Authors: | Chen, Bin ; Grzelak, Lech A ; Oosterlee, Cornelis W |
Published in: |
The journal of computational finance. - London : Incisive Media, ISSN 1460-1559, ZDB-ID 1433009x. - Vol. 15.2012, 4, p. 79-115
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