Search Results - subject:"Stochastic local volatility"

Pricing and hedging autocallable products by Markov chain approximation

Cui, Yeda; Li, Lingfei; Zhang, Gongqiu - 2024

Persistent link: https://www.econbiz.de/10015133991

A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives

Kim, Donghyun; Ha, Mijin; Kim, Jeong-Hoon; Yoon, Ji-Hun - In: The quarterly review of economics and finance 97 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10015188448

Pricing commodity index options

Manzano-Herrero, Alberto Pedro; Nastasi, Emanuele; … - In: Quantitative finance 23 (2023) 2, pp. 297-308

Persistent link: https://www.econbiz.de/10014232638

Effective stochastic local volatility models

Felpel, Mike; Kienitz, Jörg; McWalter, Thomas A. - In: Quantitative finance 23 (2023) 12, pp. 1731-1750

Persistent link: https://www.econbiz.de/10014452467

CTMC integral equation method for American options under stochastic local volatility models

Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - In: Journal of economic dynamics & control 128 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012628259

Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations

Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 290 (2021) 3, pp. 1046-1062

Persistent link: https://www.econbiz.de/10012495249

Calibration of the Heston stochastic local volatility model : a finite volume scheme

Engelmann, Bernd; Koster, Frank; Oeltz, Daniel - In: International journal of financial engineering 8 (2021) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10012654678

Collocating volatility : a competitive alternative to stochastic local volatility models

Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-42

Persistent link: https://www.econbiz.de/10012496758

Pricing variance derivatives using hybrid models with stochastic interest rates

Smetaniouk, Taras - 2008

stock price moving. This effect is not captured in SR-LV model, but stochastic local volatility exhibits this trait. In this …

Persistent link: https://www.econbiz.de/10009450610

THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION

STOEP, ANTHONIE W. VAN DER; GRZELAK, LECH A.; … - In: International Journal of Theoretical and Applied … 17 (2014) 07, pp. 1450045-1

In this paper we propose an efficient Monte Carlo scheme for simulating the stochastic volatility model of Heston (1993) enhanced by a nonparametric local volatility component. This hybrid model combines the main advantages of the Heston model and the local volatility model introduced by Dupire...

Persistent link: https://www.econbiz.de/10011094650