The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives (Q2866378)
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scientific article; zbMATH DE number 6238222
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| English | The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives |
scientific article; zbMATH DE number 6238222 |
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The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives (English)
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13 December 2013
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hybrid stochastic model
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Heston-Gaussian multi-factor equity-interest rate model
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affine diffusion process
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characteristic function
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unbiased Monte Carlo simulation
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0.8718777894973755
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0.8707404732704163
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0.8170095086097717
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0.815838098526001
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0.8067099452018738
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