On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates

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

Original language	English
Journal	Applied Mathematical Finance
DOIs	https://doi.org/10.1080/1350486X.2011.570492
Publication status	Published - 2012
Externally published	Yes

Access to Document

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title = "On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates",

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

year = "2012",

doi = "10.1080/1350486X.2011.570492",

language = "English",

journal = "Applied Mathematical Finance",

issn = "1350-486X",

publisher = "Routledge",

}

TY - JOUR

T1 - On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates

AU - Grzelak, L.A.

AU - Oosterlee, C.W.

PY - 2012

Y1 - 2012

UR - https://www.scopus.com/pages/publications/84857079800

U2 - 10.1080/1350486X.2011.570492

DO - 10.1080/1350486X.2011.570492

M3 - Article

SN - 1350-486X

JO - Applied Mathematical Finance

JF - Applied Mathematical Finance

ER -