Concepedia

Stochastic Interest Rates for Local Volatility Hybrids Models

Eric Benhamou, Arnaud Rivoira, Anne Gruz

SSRN Electronic Journal · 2008 · 20 citations · 2 references

DOIFull text

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References

2

THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications)

James R. Norris · Bulletin of the London Mathematical Society · 1997 · 574 citations

, , +13

Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing

Leif B. G. Andersen, Jesper Andreasen · SSRN Electronic Journal · 1999 · 97 citations · Full text

, , +17