On the Heston Model with Stochastic Interest Rates
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Publication:2996525
DOI10.1137/090756119zbMath1229.91338OpenAlexW3123581802MaRDI QIDQ2996525
Lech A. Grzelak, Cornelis W. Oosterlee
Publication date: 2 May 2011
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: http://resolver.tudelft.nl/uuid:a3246865-fa49-4f41-8368-6e5076d466bf
stochastic volatilityaffine diffusion processHeston-Cox-Ingersoll-Ross processHeston-Hull-White processinterest rate hybrid models
Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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