Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models
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Publication:4604870
DOI10.1007/978-1-4939-6969-2_9zbMath1386.91154OpenAlexW2291418225MaRDI QIDQ4604870
Qian Feng, Cornelis W. Oosterlee
Publication date: 6 March 2018
Published in: Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4939-6969-2_9
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
Related Items (3)
BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems ⋮ Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model ⋮ Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model
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