The Affine Heston Model with Correlated Gaussian Interest Rates for Pricing Hybrid Derivatives
Year of publication: |
2014
|
---|---|
Authors: | Grzelak, Lech A. |
Other Persons: | Oosterlee, Cornelis W. (contributor) ; van Weeren, Sacha (contributor) |
Publisher: |
[2014]: [S.l.] : SSRN |
Subject: | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Volatilität | Volatility | CAPM |
Extent: | 1 Online-Ressource (23 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Quantitative Finance, 11:11, 1647-1663, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 20, 2009 erstellt |
Other identifiers: | 10.2139/ssrn.1434829 [DOI] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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