Extension of stochastic volatility equity models with the Hull–White interest rate process

DOI10.1080/14697680903170809zbMath1241.91124OpenAlexW3125739561MaRDI QIDQ2893077

S. van Weeren, Lech A. Grzelak, Cornelis W. Oosterlee

Publication date: 25 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903170809

zbMATH Keywords

financefinancial engineeringmathematical financemathematical modelsfinancial mathematicsfinancial econometricsfinancial applicationsfinancial derivatives

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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