A novel Monte Carlo approach to hybrid local volatility models (Q4555144): Difference between revisions
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scientific article; zbMATH DE number 6981260
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English | A novel Monte Carlo approach to hybrid local volatility models |
scientific article; zbMATH DE number 6981260 |
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A novel Monte Carlo approach to hybrid local volatility models (English)
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19 November 2018
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local volatility
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Monte Carlo
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hybrid
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stochastic volatility
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stochastic local volatility
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stochastic interest rates
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stochastic collocation
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regression
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SABR
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Heston
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Hull-White
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