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

Author： Grzelak Lech A.   Oosterlee Cornelis W.   Van Weeren Sacha  

Publisher： Routledge Ltd

ISSN： 1469-7688

Source： Quantitative Finance, Vol.11, Iss.11, 2011-11, pp. : 1647-1663

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