Incorporating an interest rate smile in a equity local volatility model

LA Grzelak, N Borovykh, S. van Weeren, CW Oosterlee

Research output: Book/ReportReportProfessional

Original languageUndefined/Unknown
Place of PublicationDelft
PublisherEWI Ch. Numerical Analysis
Number of pages22
VolumeReports of the Department of Applied Mathematical Analysis
Publication statusPublished - 2008

Publication series

Name
PublisherEWI Ch. Numerical Analysis

Keywords

  • Geen BTA classificatie
  • Geen VSNU-classificatie

Cite this