Pricing of vulnerable options under hybrid stochastic and local volatility (Q2137228)
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scientific article; zbMATH DE number 7526743
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| English | Pricing of vulnerable options under hybrid stochastic and local volatility |
scientific article; zbMATH DE number 7526743 |
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Pricing of vulnerable options under hybrid stochastic and local volatility (English)
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16 May 2022
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hybrid stochastic and local volatility
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vulnerable option
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asymptotic analysis
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Monte Carlo simulation
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0.9347367
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0.93388724
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0.92595845
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0.91615987
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0.9160363
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0.9037115
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0.9023733
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0.90087026
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0.8993428
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