Calibration and Monte Carlo pricing of the SABR¿Hull¿White model for long-maturity equity derivatives

Research output: Contribution to journalArticleScientificpeer-review

4 Citations (Scopus)
Original languageEnglish
Pages (from-to)79-113
Number of pages35
JournalThe Journal of Computational Finance
Volume15
Issue number4
Publication statusPublished - 2012

Keywords

  • academic journal papers

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