An equity-interest rate hybrid model with stochastic volatility and the interest rate smile

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

Original language	Undefined/Unknown
Journal	Journal of Computational Finance
DOIs	https://doi.org/10.21314/JCF.2012.238
Publication status	Published - 2012
Externally published	Yes

Access to Document

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title = "An equity-interest rate hybrid model with stochastic volatility and the interest rate smile",

author = "L.A. Grzelak and C.W. Oosterlee",

year = "2012",

doi = "10.21314/JCF.2012.238",

language = "Undefined/Unknown",

journal = "Journal of Computational Finance",

issn = "1460-1559",

publisher = "Incisive Media Ltd.",

}

TY - JOUR

T1 - An equity-interest rate hybrid model with stochastic volatility and the interest rate smile

AU - Grzelak, L.A.

AU - Oosterlee, C.W.

PY - 2012

Y1 - 2012

UR - https://www.scopus.com/pages/publications/84973619140

U2 - 10.21314/JCF.2012.238

DO - 10.21314/JCF.2012.238

M3 - Article

SN - 1460-1559

JO - Journal of Computational Finance

JF - Journal of Computational Finance

ER -