Farkas, Walter; Ferrari, Francesco; Ulrych, Urban - 2022
This paper investigates the pricing of single-asset autocallable barrier reverse convertibles in the Heston local …, the commonly-used local volatility (LV) model is overly simplified for pricing and risk management. Given its ability to … exotic derivatives such as autocallables. We use quasi-Monte Carlo methods to study the pricing given the Heston LSV model …