Approximating the Heston-Hull-White Model
The hybrid Heston-Hull-White (HHW) model combines the Heston (1993) stochastic volatility and Hull and White (1990) short rate models. Compared to stochastic volatility models, hybrid models improve upon the pricing and hedging of longdated options and equity-interest rate hybrid claims. When the He...
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| Format: | Dissertation |
| Language: | English |
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Faculty of Commerce
2020
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| Online Access: | http://hdl.handle.net/11427/30881 |