The Heston-Hull-White Model Part II: Numerics and Examples Wilmott Magazine Article – Holger Kammeyer and Jorge Kienitz

This is the second article in a series of three on financial modeling using the Heston-Hull-White model. The aim of this series is to show the full life cycle of model development and implementation. This article reviews the methods for pricing European options and suggests fast numerical methods for the pricing procedure.

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The Heston-Hull-White Model Part II: Numerics and Examples Wilmott Magazine Article - Holger Kammeyer and Jorge Kienitz
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