Pricing inflation products with stochastic volatility and stochastic interest rates (Q2442529): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2013.01.003
+Normal rank
@@ Property / OpenAlex ID @@
+W2162604065
@@ Property / OpenAlex ID: W2162604065 / rank @@
+Normal rank
@@ Property / cites work @@
+Interest rate models -- theory and practice. With smile, inflation and credit
+Normal rank
@@ Property / cites work @@
+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Empirical Martingale Simulation for Asset Prices
@@ Property / cites work: Empirical Martingale Simulation for Asset Prices / rank @@
+Normal rank
@@ Property / cites work @@
+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
+Normal rank
@@ Property / cites work @@
+On the Heston Model with Stochastic Interest Rates
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
+Normal rank
@@ Property / cites work @@
+Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
+Normal rank