Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Alan Bain, Matthieu Mariapragassam and Christoph Reisinger
| Year of publication: |
2021
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|---|---|
| Authors: | Bain, Alan ; Mariapragassam, Matthieu ; Reisinger, Christoph |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 24.2021, 4, p. 115-161
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| Subject: | LSV models | calibaration | barrier options | particle method | Markovian projection | forward PIDE | Optionsgeschäft | Option trading | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Black-Scholes-Modell | Black-Scholes model |