نتایج جستجو برای: interest rate
تعداد نتایج: 1259570 فیلتر نتایج به سال:
Journal:
:Entrepreneurial Business and Economics Review
2018
Journal:
:International Journal of Trade, Economics and Finance
2015
2010
Lech A. Grzelak
Cornelis W. Oosterlee
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...
Journal:
:SSRN Electronic Journal
2009
2003
Lane P. Hughston
Dorje C. Brody
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