On the Heston model with stochastic interest rates

LA Grzelak, CW Oosterlee

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

160 Citations (SciVal)

Original language	English
Pages (from-to)	255-286
Number of pages	32
Journal	SIAM Journal on Financial Mathematics
Volume	2
DOIs	https://doi.org/10.1137/090756119
Publication status	Published - 2011

Keywords

@article{98efe976dd41498a95f844c95f0e9859,

title = "On the Heston model with stochastic interest rates",

keywords = "academic journal papers",

author = "LA Grzelak and CW Oosterlee",

year = "2011",

doi = "10.1137/090756119",

language = "English",

volume = "2",

pages = "255--286",

journal = "SIAM Journal on Financial Mathematics",

issn = "1945-497X",

publisher = "Society for Industrial and Applied Mathematics",

}