Incorporating an interest rate smile in a equity local volatility model

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

Research output: Book/Report › Report › Professional

Original language	Undefined/Unknown
Place of Publication	Delft
Publisher	EWI Ch. Numerical Analysis
Number of pages	22
Volume	Reports of the Department of Applied Mathematical Analysis
Publication status	Published - 2008

Name
Publisher	EWI Ch. Numerical Analysis

ISSN 1389-6520

Keywords

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title = "Incorporating an interest rate smile in a equity local volatility model",

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

note = "ISSN 1389-6520",

year = "2008",

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volume = "Reports of the Department of Applied Mathematical Analysis",

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TY - BOOK

T1 - Incorporating an interest rate smile in a equity local volatility model

AU - Grzelak, LA

AU - Borovykh, N

AU - van Weeren, S.

AU - Oosterlee, CW

N1 - ISSN 1389-6520

PY - 2008

Y1 - 2008

KW - Geen BTA classificatie

KW - Geen VSNU-classificatie

M3 - Report

VL - Reports of the Department of Applied Mathematical Analysis

BT - Incorporating an interest rate smile in a equity local volatility model

PB - EWI Ch. Numerical Analysis

CY - Delft

ER -