Extension of stochastic volatility equity models with the Hull–White interest rate process

By Lech A. Grzelak, Cornelis W. Oosterlee, S. van Weeren. 2012

74 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/26ea3f072c73d7ab1bd1d4d1e4c430f201e41e26

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Marek Rutkowski
2. R. Ahlip
3. St'ephane Cr'epey
4. Damiano Brigo
5. Tomasz R. Bielecki

Citations in the corpus

• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (2013, background): “…by, among others, Van Haastrecht and Pelsser (2011) and Grzelak and Oosterlee (2011), who examined, in particular, the Heston/Vasicek and 40 Heston/CIR hybrid models (see also Grzelak et al. (2012), who study the Schöbel–Zhu/Hull–White and Heston/Hull–White models for equity derivatives).”