Analytical formulas for a local volatility model with stochastic rates
type: Item
instance of: scholarly article
title: Analytical formulas for a local volatility model with stochastic rates
zbMATH Open document ID: 1247.91177
DOI: 10.1080/14697688.2010.523011
author: Eric Benhamou
author: Emmanuel Gobet
author: Mohammed Miri
published in: Quantitative Finance
publication date: 2012-06-26T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6050004
zbMATH Keywords: computational finance
zbMATH Keywords: option pricing
zbMATH Keywords: interest rates
zbMATH Keywords: equity options
zbMATH Keywords: mathematics of finance
zbMATH Keywords: multi-factor models
zbMATH Keywords: stochastic analysis
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/14697688.2010.523011
OpenAlex ID: W3123841515
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description: scientific article; zbMATH DE number 6050004