OPTION PRICING: Calibrating and pricing - with embedded local volatility models Consistently fitting vanilla option surfaces when pricing volatility derivatives such as Vix options or interest rate-equity hybrids is an important issue. Here, the authors show how this can be accomplished, using a stochastic local volatility model as the main example. They also give, for the first time, quanto ...

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Fan, Xiliang, (2010)

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Halidias, Nikolaos, (2008)