JOINING THE HESTON AND A THREE-FACTOR SHORT RATE MODEL: A CLOSED-FORM APPROACH (Q3467603)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | JOINING THE HESTON AND A THREE-FACTOR SHORT RATE MODEL: A CLOSED-FORM APPROACH |
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JOINING THE HESTON AND A THREE-FACTOR SHORT RATE MODEL: A CLOSED-FORM APPROACH (English)
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3 February 2016
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option valuation
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Heston model
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two-factor Hull-White model
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stochastic volatility
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stochastic interest rate
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analytic solution
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