Author Details

Huerlimann, Werner, Wolters Kluwer Financial Services Switzerland AG, Switzerland

  • Vol 2014 (2014) - Articles
    Option pricing in the multidimensional Black-Scholes-Merton market with Gaussian Heath-Jarrow-Morton interest rates: the parsimonious and consistent Hull-White models of Vasicek and Nelson-Siegel type
    Abstract  PDF

Mathematical Finance Letters

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