THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
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 (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 17.2014, 07, p. 1450045-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Heston stochastic-local volatility | HSLV | stochastic volatility | local volatility | Heston | hybrid models | calibration | Monte Carlo |
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