A general valuation framework for SABR and stochastic local volatility models (Q4579833)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A general valuation framework for SABR and stochastic local volatility models |
scientific article; zbMATH DE number 6915869
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8196185231208801
0 references
0.8069595694541931
0 references
0.7958081364631653
0 references
0.787358283996582
0 references
0.7734829783439636
0 references
