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

Other participants: Claude Archer, Chun Dong Chau, Zhengwei Han, Remco van der Hofstad, David Kun. ∗Department of Mathematics and Computer Science, University of Antwerp, Middelheimlaan 1, 2020 Antwerp, Belgium. E-mail: karel.inthout@ua.ac.be. †Mathematical Institute, Leiden University, P.O. Box 9512, 2300 RA Leiden, The Netherlands. E-mail: joris@math.leidenuniv.nl. ‡ING Corporate Market Risk Management/Quants, Foppingadreef 7, 1102 BD Amsterdam, The Netherlands. E-mail: Antoine.van.der.Ploeg@ingbank.com. §Department of Mathematics and Computer Science, Eindhoven University of Technology, P.O. Box 513, 5600 MB Eindhoven, The Netherlands. E-mail: j.c.h.w.panhuis@tue.nl.