Pricing inflation products with stochastic volatility and stochastic interest rates

SN Singor, LA Grzelak, DDB van Bragt, CW Oosterlee

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

Original language	English
Pages (from-to)	286-299
Number of pages	14
Journal	Insurance: Mathematics and Economics
Volume	52
Publication status	Published - 2013

Cite this

@article{7477e301f995448faa6e88b03365339d,

title = "Pricing inflation products with stochastic volatility and stochastic interest rates",

author = "SN Singor and LA Grzelak and {van Bragt}, DDB and CW Oosterlee",

year = "2013",

language = "English",

volume = "52",

pages = "286--299",

journal = "Insurance: Mathematics and Economics",

issn = "0167-6687",

publisher = "Elsevier",

}

TY - JOUR

T1 - Pricing inflation products with stochastic volatility and stochastic interest rates

AU - Singor, SN

AU - Grzelak, LA

AU - van Bragt, DDB

AU - Oosterlee, CW

PY - 2013

Y1 - 2013

UR - http://ta.twi.tudelft.nl/mf/users/oosterle/oosterlee/J79.pdf

M3 - Article

SN - 0167-6687

VL - 52

SP - 286

EP - 299

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

ER -