LSV models with stochastic interest rates and correlated jumps (Q4976326)
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scientific article; zbMATH DE number 6754530
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| English | LSV models with stochastic interest rates and correlated jumps |
scientific article; zbMATH DE number 6754530 |
Statements
LSV models with stochastic interest rates and correlated jumps (English)
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28 July 2017
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LSV model
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stochastic interest rates
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correlated Lévy processes
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PIDE
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splitting
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matrix exponential
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0.789143979549408
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0.7790769934654236
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0.7641609907150269
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0.7620753645896912
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0.7600584030151367
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