On cross-currency models with stochastic volatility and correlated interest rates
Year of publication: |
2012
|
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Authors: | Grzelak, Lech A. ; Oosterlee, Cornelis W. |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 19.2012, 1/2, p. 1-35
|
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Zinsstruktur | Yield curve | Korrelation | Correlation | Wechselkurs | Exchange rate | Optionspreistheorie | Option pricing theory |
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