Pricing autocallables under local-stochastic volatility (Q6105374)
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scientific article; zbMATH DE number 7702085
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing autocallables under local-stochastic volatility |
scientific article; zbMATH DE number 7702085 |
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Pricing autocallables under local-stochastic volatility (English)
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26 June 2023
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exotic derivatives pricing
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local-stochastic volatility
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implied volatility smile dynamics
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autocallables
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barrier reverse convertibles
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quasi-Monte Carlo methods
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