Analytical formulas for a local volatility model with stochastic rates

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Publication:2893202

DOI10.1080/14697688.2010.523011zbMath1247.91177OpenAlexW3123841515MaRDI QIDQ2893202

Eric Benhamou, Emmanuel Gobet, Mohammed Miri

Publication date: 26 June 2012

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

Full work available at URL: https://doi.org/10.1080/14697688.2010.523011




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