The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives (Q2866378)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives |
scientific article |
Statements
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives (English)
0 references
13 December 2013
0 references
hybrid stochastic model
0 references
Heston-Gaussian multi-factor equity-interest rate model
0 references
affine diffusion process
0 references
characteristic function
0 references
unbiased Monte Carlo simulation
0 references
0 references
