The collocating local volatility framework -- a fresh look at efficient pricing with smile (Q5031708)
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scientific article; zbMATH DE number 7474735
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | The collocating local volatility framework -- a fresh look at efficient pricing with smile |
scientific article; zbMATH DE number 7474735 |
Statements
The collocating local volatility framework – a fresh look at efficient pricing with smile (English)
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16 February 2022
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parametric local volatility
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stochastic collocation method
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SCMC sampler
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Monte Carlo
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basket options
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efficient pricing
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0.8408302664756775
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0.7854244112968445
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0.7701627612113953
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0.7539616823196411
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0.7522536516189575
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