Extension of stochastic volatility equity models with the Hull¿White interest rate process

LA Grzelak, CW Oosterlee, S. van Weeren

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

48 Citations (Scopus)

Keywords

@article{ed460e8a510b46d4bddedfbea8620c63,

title = "Extension of stochastic volatility equity models with the Hull¿White interest rate process",

keywords = "academic journal papers, CWTS JFIS < 0.75",

author = "LA Grzelak and CW Oosterlee and {van Weeren}, S.",

year = "2012",

doi = "10.1080/14697680903170809",

language = "English",

volume = "12",

pages = "1--135",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Routledge - Taylor & Francis Group",

number = "1",

}

TY - JOUR

T1 - Extension of stochastic volatility equity models with the Hull¿White interest rate process

AU - Grzelak, LA

AU - Oosterlee, CW

AU - van Weeren, S.

PY - 2012

Y1 - 2012

KW - academic journal papers

KW - CWTS JFIS < 0.75

U2 - 10.1080/14697680903170809

DO - 10.1080/14697680903170809

M3 - Article

SN - 1469-7688

VL - 12

SP - 1

EP - 135

JO - Quantitative Finance

JF - Quantitative Finance

IS - 1

ER -