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20122026
most citedA hybrid approach for the implementation of the Heston model

18 citations · 96 across the 20 of their papers we have counts for

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q-fin.CP2015★ 16 cited

A hybrid tree/finite-difference approach for Heston-Hull-White type models

M. Briani, L. Caramellino, A. Zanette

We study a hybrid tree-finite difference method which permits to obtain efficient and accurate European and American option prices in the Heston Hull-White and Heston Hull-White2d…