Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
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DOI: 10.1080/14697688.2014.930965
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Citations
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- Andrei Cozma & Christoph Reisinger, 2017. "Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models," Papers 1706.07375, arXiv.org, revised Oct 2018.
- Ferreiro-Ferreiro, Ana María & García-Rodríguez, José A. & Souto, Luis & Vázquez, Carlos, 2020. "A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 177(C), pages 467-486.
- Alexander Lipton, 2023. "Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results," Papers 2309.04547, arXiv.org.
- Weston Barger & Matthew Lorig, 2016. "Approximate pricing of European and Barrier claims in a local-stochastic volatility setting," Papers 1610.05728, arXiv.org, revised Apr 2017.
- Simonella, Roberta & Vázquez, Carlos, 2023. "XVA in a multi-currency setting with stochastic foreign exchange rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 207(C), pages 59-79.
- Kaustav Das & Ivan Guo & Gr'egoire Loeper, 2021. "On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula," Papers 2106.14870, arXiv.org, revised Nov 2023.
- Daniel Guterding, 2023. "Sparse Modeling Approach to the Arbitrage-Free Interpolation of Plain-Vanilla Option Prices and Implied Volatilities," Risks, MDPI, vol. 11(5), pages 1-24, April.
- Weston Barger & Matthew Lorig, 2017. "Approximate pricing of European and Barrier claims in a local-stochastic volatility setting," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-31, June.
- Alexander Lipton, 2024. "Hydrodynamics of Markets:Hidden Links Between Physics and Finance," Papers 2403.09761, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2019. "Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models," Papers 1912.06948, arXiv.org, revised Dec 2019.
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