The collocating local volatility framework – a fresh look at efficient pricing with smile (Q5031708): Difference between revisions
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Revision as of 10:55, 8 February 2024
scientific article; zbMATH DE number 7474735
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The collocating local volatility framework – a fresh look at efficient pricing with smile |
scientific article; zbMATH DE number 7474735 |
Statements
The collocating local volatility framework – a fresh look at efficient pricing with smile (English)
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16 February 2022
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parametric local volatility
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stochastic collocation method
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SCMC sampler
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Monte Carlo
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basket options
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efficient pricing
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