Option pricing - Being particular about calibration - Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, the authors show how to calibrate exactly any such model. Their approach, based on McKean's particle method, extends to hybrid models, where interest rates are also stochastic. They illustrate the efficiency of their algorithm on ...
| Year of publication: |
2012
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|---|---|
| Authors: | Guyon, Julien ; Henry-Labordère, Pierre |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 25.2012, 1, p. 88-94
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