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

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

Access to Document

@article{52e7878090d1487b91ac640553d0ad08,

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

author = "L.A. Grzelak and C.W. Oosterlee and {van Weeren}, S.",

year = "2011",

doi = "10.1080/14697688.2011.615216",

language = "Undefined/Unknown",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Taylor and Francis Ltd.",

}

TY - JOUR

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

AU - Grzelak, L.A.

AU - Oosterlee, C.W.

AU - van Weeren, S.

PY - 2011

Y1 - 2011

UR - http://www.scopus.com/inward/record.url?eid=2-s2.0-84859264013&partnerID=MN8TOARS

U2 - 10.1080/14697688.2011.615216

DO - 10.1080/14697688.2011.615216

M3 - Article

SN - 1469-7688

JO - Quantitative Finance

JF - Quantitative Finance

ER -