Effective stochastic local volatility models

DOI10.1080/14697688.2023.2271514OpenAlexW4388715038MaRDI QIDQ6127427

J. Kienitz, Thomas Andrew McWalter, M. Felpel

Publication date: 12 April 2024

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

Full work available at URL: https://doi.org/10.1080/14697688.2023.2271514

zbMATH Keywords

stochastic volatilityapproximation formulaHestonSABRstochastic local volatilityZABR

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

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