A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833)
From MaRDI portal
scientific article; zbMATH DE number 6915869
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A General Valuation Framework for SABR and Stochastic Local Volatility Models |
scientific article; zbMATH DE number 6915869 |
Statements
A General Valuation Framework for SABR and Stochastic Local Volatility Models (English)
0 references
10 August 2018
0 references
SABR
0 references
stochastic local volatility
0 references
quadratic local volatility
0 references
continuous-time Markov chains
0 references
exotic options
0 references
American options
0 references
Asian options
0 references
option pricing
0 references
CTMC
0 references
occupation time derivatives
0 references
barrier options
0 references
