This paper presents recursive double integral equations to obtain the distribution of the discounted value or accumulated value of deterministic cash #ows. The double integrals have to be evaluated numerically at each iteration. Those distributions are useful when studying the investment risk of por
β¦ LIBER β¦
On the Heston Model with Stochastic Interest Rates
β Scribed by Grzelak, Lech A.; Oosterlee, Cornelis W.
- Book ID
- 118203610
- Publisher
- Society for Industrial and Applied Mathematics
- Year
- 2011
- Tongue
- English
- Weight
- 572 KB
- Volume
- 2
- Category
- Article
- ISSN
- 1945-497X
No coin nor oath required. For personal study only.
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