The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Anthonie W. van der Stoep, Lech A. Grzelak and Cornelis W. Oosterlee
| Year of publication: |
2014
|
|---|---|
| Authors: | Stoep, Anthonie W. van der ; Grzelak, Lech A. ; Oosterlee, Cornelis W. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 7, p. 1-30
|
| Subject: | Heston stochastic-local volatility | HSLV | stochastic volatility | local volatility | Heston | hybrid models | calibration | Monte Carlo | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010498851