Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results

DOI10.1080/14697688.2014.930965zbMath1402.91895arXiv1312.5693OpenAlexW2115325641MaRDI QIDQ5247272

Andrey Gal, Andris Lasis, Alexander Lipton-Lifschitz

Publication date: 23 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.5693

zbMATH Keywords

stochastic volatilityexotic optionsbarrier optionsnumerical methods for option pricingimplementation of pricing derivativeslocal volatility theory

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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