Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets (Q2922151): Difference between revisions
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Revision as of 21:29, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets |
scientific article |
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Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets (English)
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9 October 2014
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basket option
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implied volatility
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CEV model
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numerical pricing
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heat kernel expansion
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asymptotic methods
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