On the Heston Model with Stochastic Interest Rates
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/090756119
Reference19 articles.
1. Simple and efficient simulation of the Heston stochastic volatility model
2. The Pricing of Options and Corporate Liabilities
3. Application of the Fast Gauss Transform to Option Pricing
4. Option valuation using the fast Fourier transform
5. A Theory of the Term Structure of Interest Rates
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