An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile
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- Lech A. Grzelak & Cornelis W. Oosterlee, 2012.
"On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates,"
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More about this item
Keywordshybrid models; Heston equity model; Libor Market Model with stochastic volatility; displaced diffusion; affine diffusion; fast calibration.;
- G1 - Financial Economics - - General Financial Markets
- F3 - International Economics - - International Finance
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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