A novel Monte Carlo approach to hybrid local volatility models (Q4555144): Difference between revisions

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Latest revision as of 09:57, 17 July 2024

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

    Statements

    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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