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

Research output: Contribution to journal › Article › Scientific › peer-review

Original language	English
Pages (from-to)	79-113
Number of pages	35
Journal	The Journal of Computational Finance
Volume	15
Issue number	4
Publication status	Published - 2012

Keywords

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

keywords = "academic journal papers",

author = "LA Grzelak and CW Oosterlee",

year = "2012",

language = "English",

volume = "15",

pages = "79--113",

journal = "The Journal of Computational Finance",

issn = "1460-1559",

publisher = "Incisive Media Ltd.",

number = "4",

}

TY - JOUR

T1 - Calibration and Monte Carlo pricing of the SABR¿Hull¿White model for long-maturity equity derivatives

AU - Grzelak, LA

AU - Oosterlee, CW

PY - 2012

Y1 - 2012

KW - academic journal papers

UR - http://www.risk.net/digital_assets/5393/jcf_chen_web.pdf

M3 - Article

SN - 1460-1559

VL - 15

SP - 79

EP - 113

JO - The Journal of Computational Finance

JF - The Journal of Computational Finance

IS - 4

ER -