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

In this paper, we will present a multiple time-step Monte Carlo simulation technique for pricing options under the (Stochastic Alpha Beta Rho (SABR)) model. The proposed method is an extension of the one time-step Monte Carlo method that we proposed in an accompanying paper, for pricing European...

We present in a Monte Carlo simulation framework a novel approach for the evaluation of hybrid local volatility (Dupire 1994, Derman and Kani 1998) models. In particular, we consider the stochastic local volatility model - see e.g. Lipton et al. (2014), Piterbarg (2007), Tataru and Fisher...

We model the joint dynamics of stock and interest rate by a hybrid SABR-Hull-White model, in which the asset price dynamics are modeled by the SABR model and the interest rate dynamics by the Hull-White short-rate model. We propose a projection formula, mapping the SABR-HW model parameters onto...