On the Heston model with stochastic interest rates (Q2996525)
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scientific article; zbMATH DE number 5882830
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| default for all languages | No label defined |
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| English | On the Heston model with stochastic interest rates |
scientific article; zbMATH DE number 5882830 |
Statements
On the Heston Model with Stochastic Interest Rates (English)
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2 May 2011
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interest rate hybrid models
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stochastic volatility
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Heston-Hull-White process
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Heston-Cox-Ingersoll-Ross process
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affine diffusion process
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0.8718777894973755
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0.8224878311157227
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0.811995804309845
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0.8029206991195679
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0.7992251515388489
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