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

DOI10.1080/14697688.2011.615216zbMath1277.91171OpenAlexW3126056482MaRDI QIDQ2866378

Lech A. Grzelak, S. van Weeren, Cornelis W. Oosterlee

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.615216

zbMATH Keywords

characteristic functionhybrid stochastic modelaffine diffusion processHeston-Gaussian multi-factor equity-interest rate modelunbiased Monte Carlo simulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Characteristic functions; other transforms (60E10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

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Uses Software

• SumTools

Cites Work

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