The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives

LA Grzelak, CW Oosterlee, S. van Weeren

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

Original language	English
Pages (from-to)	1647-1663
Number of pages	17
Journal	Quantitative Finance
Volume	11
DOIs	https://doi.org/http://www.tandfonline.com/doi/abs/10.1080/14697688.2011.615216
Publication status	Published - 2011

Keywords

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title = "The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives",

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

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T1 - The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives

AU - Grzelak, LA

AU - Oosterlee, CW

AU - van Weeren, S.

PY - 2011

Y1 - 2011

KW - academic journal papers

KW - CWTS JFIS < 0.75

U2 - http://www.tandfonline.com/doi/abs/10.1080/14697688.2011.615216

DO - http://www.tandfonline.com/doi/abs/10.1080/14697688.2011.615216

M3 - Article

SN - 1469-7688

VL - 11

SP - 1647

EP - 1663

JO - Quantitative Finance

JF - Quantitative Finance

ER -