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

2011

Quantitative Finance , Volume 11 - Issue 11 p. 1647- 1663

Additional Metadata
THEME	Life Sciences (theme 5), Energy (theme 4)
Stakeholder	Unspecified
Publisher	Institute of Physics
Journal	Quantitative Finance
Organisation	Scientific Computing
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Grzelak, L. A., Oosterlee, K., & van Weeren, S. (2011). The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives. Quantitative Finance, 11(11), 1647–1663.

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