Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation

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

Original language	Undefined/Unknown
Journal	Applied Numerical Mathematics
DOIs	https://doi.org/10.1016/j.apnum.2013.06.004
Publication status	Published - 2013
Externally published	Yes

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@article{c997e14b3ef84ce6af1c774ea5b7a5d3,

title = "Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation",

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

year = "2013",

doi = "10.1016/j.apnum.2013.06.004",

language = "Undefined/Unknown",

journal = "Applied Numerical Mathematics",

issn = "0168-9274",

publisher = "Elsevier BV",

}

TY - JOUR

T1 - Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation

AU - Guo, S.

AU - Grzelak, L.A.

AU - Oosterlee, C.W.

PY - 2013

Y1 - 2013

UR - https://www.scopus.com/pages/publications/84880175060

U2 - 10.1016/j.apnum.2013.06.004

DO - 10.1016/j.apnum.2013.06.004

M3 - Article

SN - 0168-9274

JO - Applied Numerical Mathematics

JF - Applied Numerical Mathematics

ER -