Collocating volatility : a competitive alternative to stochastic local volatility models
Anthonie W. Van Der Stoep, Lech A. Grzelak and Cornelis W. Oosterlee
| Year of publication: |
2020
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|---|---|
| Authors: | Stoep, Anthonie W. van der ; Grzelak, Lech A. ; Oosterlee, Cornelis Willebrordus |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 23.2020, 6, p. 1-42
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| Subject: | Collocating volatility | stochastic local volatility | Monte Carlo | stochastic collocation | calibration | forward volatility | barrier options | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Monte-Carlo-Simulation | Monte Carlo simulation | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024920500387 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012496758