Collocating volatility: a competitive alternative to stochastic local volatility models
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A novel Monte Carlo approach to hybrid local volatility models
- A novel pricing method for European options based on Fourier-cosine series expansions
- A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
- A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data
- Advanced Monte Carlo Methods for Barrier and Related Exotic Options
- Approximations to the non-central chi-square distribution
- Exact asymptotics for the probability of exit from a domain and applications to simulation
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- High-Order Collocation Methods for Differential Equations with Random Inputs
- scientific article; zbMATH DE number 1055921 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- Markov-functional interest rate models
- Monotone Piecewise Cubic Interpolation
- On the optimal polynomial approximation of stochastic PDEs by Galerkin and collocation methods
- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
- Simplex stochastic collocation with random sampling and extrapolation for nonhypercube probability spaces
- Sparse grid collocation schemes for stochastic natural convection problems
- Statistical Tools for Finance and Insurance
- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- The collocating local volatility framework -- a fresh look at efficient pricing with smile
- The Heston stochastic-local volatility model: efficient Monte Carlo simulation
- The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
- The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
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