Grzelak, Lech; Oosterlee, Kees - Volkswirtschaftliche Fakultät, … - 2010
We define an equity-interest rate hybrid model in which the equity part is driven by the Heston stochastic volatility [Hes93], and the interest rate (IR) is generated by the displaced-diffusion stochastic volatility Libor Market Model [AA02]. We assume a non-zero correlation between the main...