An equity–interest rate hybrid model with stochastic volatility and the interest rate smile
نویسندگان
چکیده
منابع مشابه
An Equity-Interest Rate hybrid model with Stochastic Volatility and the interest rate smile
We define an equity-interest rate hybrid model in which the equity part is driven by the Heston stochastic volatility [Hes93], and the interest rate (IR) is generated by the displaced-diffusion stochastic volatility Libor Market Model [AA02]. We assume a non-zero correlation between the main processes. By an appropriate change of measure the dimension of the corresponding pricing PDE can be gre...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 2012
ISSN: 1460-1559
DOI: 10.21314/jcf.2012.238