A semi closed-form analytic pricing formula for call options in a hybrid Heston–Hull–White model

TitleA semi closed-form analytic pricing formula for call options in a hybrid Heston–Hull–White model
Publication TypeJournal Article
Year of Publication2007
Authorsin't Hout K, Bierkens J, van der Ploeg APC, in’t panhuis J
JournalProceedings of the 58th European Study Group Mathematics with Industry, eds. R.H. Bisseling et. al., Utrecht
Pagination101-105